Subject: adjustment of swap deals on GDaily top page
From: [email-masked]
To: [email-masked]
Cc: [email-masked]
Date: Tue, 20 Nov 2001 15:25:07 -0800 (PST)

Errol,

I looked at your post ids 1405076 (Nov 16) and 1403081 (Nov 15).

For a Gas daily swap deal, its gamma, vega, theta, rho, drift, 2nd order should be zero. The change between today and prior day comes
from forward value of new deals, changed value of old deals, curve shift of old deals, and liquidation of old deals.

We can put it in a simplified formula, 

Today Value - Prior Day Value = New deals + Changed Deals + Curve Shift - Liquidation of old deals 

If you look at the gas top page, its liquidation actually includes both existing deals and new deals. The liquidation value for existing deals are 444,192 and liquidation value of new deals is -33,500. The Liquidation of new deals does not contribute to the daily change, so we got -33,502 off here.

I also checked your IF-TRANSCO/Z6 curve, on Nov 15 calc, its mid price of Nov 16 is 2.53 and on Nov 16 calc, its mid price of Nov 16 is changed to 2.295. This price change affected some liquidated deals, thus why you got a Liquidation curve shift of -4,700.

In our gas daily top page report, the Adjustment is used to offset change between today and prior day, and it takes 

Today Value - Prior Day Value = New Deals + Changed Deals + Curve Shift + Liq Crv Shf - Liquidation (both new deals and old deals) +  Adjustment.

Compare these two equations above, you will get 
Adjustment =  - Liq Crv Shf + Liquidation of new deals = 4,700 - 33,500 = -28,800

That is how this adjustment comes from. If you have further question or suggestion, please let us know.
Thanks,

Jinwen (Jennifer) Song
713-853-5248
[email-masked]