Message-ID: <2416236.1075862648369.JavaMail.evans@thyme> Date: Wed, 14 Nov 2001 19:15:29 -0800 (PST) From: norman.lee@enron.com To: w..white@enron.com, casey.evans@enron.com, wayne.vinson@enron.com, paul.lewis@enron.com, andrea.dahlke@enron.com, tim.carter@enron.com, hai.chen@enron.com, israel.estrada@enron.com, warrick.franklin@enron.com, michael.mattox@enron.com, kam.keiser@enron.com, kori.loibl@enron.com, errol.mclaughlin@enron.com, frank.prejean@enron.com, jay.vandenberg@enron.com, yi.yan@enron.com, kathy'.'reeves@enron.com, glenn.rogers@enron.com, john.postlethwaite@enron.com, fran.chang@enron.com, heather.dunton@enron.com, samantha.law@enron.com, nicholas.warner@enron.com, karin.williams@enron.com, ryan.dusek@enron.com, justin.den@enron.com, justin.timothy@enron.com Subject: Power PortCalc STAGE Release 11/14/2001 Version 4.2.2s1 Cc: dave.nommensen@enron.com, zhiyun.yang@enron.com, derek.anderson@enron.com, melinda.duan@enron.com, norman.lee@enron.com Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Bcc: dave.nommensen@enron.com, zhiyun.yang@enron.com, derek.anderson@enron.com, melinda.duan@enron.com, norman.lee@enron.com X-From: Lee, Norman X-To: White, Stacey W. , Evans, Casey , Vinson, Donald Wayne , Lewis, Jon Paul , Dahlke, Andrea , Carter, Tim , Chen, Hai , Estrada, Israel , Franklin, Warrick , Mattox, Michael , Keiser, Kam , Loibl, Kori , McLaughlin Jr., Errol , Prejean, Frank , Vandenberg, Jay , Yan, Yi , 'Reeves, Kathy' , Rogers, Glenn , Postlethwaite, John , Chang, Fran , Dunton, Heather , Law, Samantha , Warner, Nicholas , Williams, Karin , Dusek, Ryan , Den Hertog, Justin , Timothy, Justin X-cc: Nommensen, Dave , Yang, Zhiyun , Anderson, Derek , Duan, Melinda , Lee, Norman X-bcc: X-Folder: \EMCLAUG (Non-Privileged)\McLaughlin Jr., Errol\Inbox X-Origin: McLaughlin-E X-FileName: EMCLAUG (Non-Privileged).pst Dear All, Please test the Stage Release of PortCalc version 4.2.2s1 and let us know of the results. The executable is /stage/egs-home/ermt/bin/pwrcalc_slr New Features: Version 4.2.2s1 Changes Affecting All: Index Option : 1) When the delivery point is in the same region as the index, and it does not have a basis associated with it, the deal is evaluated as a Forward Start deal type per Research's specification and user approval of Matthew Motley. 2) When the delivery point is in the same region as the index, but with a basis, the deal is evaluated as a Basis Option as the scenario where the delivery point is in a different region from the index. This is a change from last release. Changes Affecting East: For East and all its mirrored portfolios, there will be no blending of volatilities. Monthly Options will use the Monthly Volatility, and Daily Options with Daily Volatility. The same is applied for Volatility Smile. Before that, we applied different rules to selective option deal types. Swaption Volatility Curve - PortCalc can now evaluate Swaption based on its own Swaption Volatility Curve instead of the one entered per deal. This feature can be selected on the PortCalc window. If Curve Volatility is used, it would be for ALL Swaption deals in that Post ID. Changes Affecting EES: RETAILEAST portfolio evaluation is mirrored the same as EAST. Changes Affecting Renewable: Delivery Point - PortCalc will now use the Delivery Point as the Delivery Point description instead of the Vintage Year, which Emission does. Changes Affecting Australia: End of month will no longer be treated as a business day. Changes Affecting Power Risk IT: Term Strip Tables Consolidation - combine all three term strip tables into one for ease of handling and potentially faster performance in the future. Please do not hesitate to ask if there is any questions. Thanks, Norman. x36976.