Message-ID: <19709176.1075858366432.JavaMail.evans@thyme>
Date: Wed, 5 Jul 2000 11:22:00 -0700 (PDT)
From: robin.rodrigue@enron.com
To: wei.hu@enron.com
Subject: Re: GAS-DAILY-OPT-GDL
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That sounds fine to me.  If I'm reading it correctly, we are actually 
changing the other Gas Daily books to have the same logic as the Gas Daily 
Options book currently has.  If my understanding isn't correct please let me 
know.  But I think everything thing should be okay to implement tomorrow.

Thanks,
Robin


   
	Enron North America Corp.
	
	From:  Wei Hu                           07/05/2000 06:11 PM
	

To: Robin Rodrigue/HOU/ECT@ECT
cc: Ganapathy Ramesh/HOU/ECT@ECT 
Subject: GAS-DAILY-OPT-GDL

Robin,

The current logic for processing Gas Daily books is as the following:

 If it is a Swap deal (swap_cd is 'S' in ERMS), we check two date conditions 
(ref_dt > eff_dt and ref_dt < nextMonthDt);
 If it is a Option deal (opt_cd is 'O' in ERMS), we only check one date 
condition (ref_dt > eff_dt).

That's why you saw prompt month positions for 'GAS-DAILY-OPT-GDL', those are 
all from Option deals.  Other Gas Daily books either don't have prompt month 
positions or the delta position is zero, so you don't see it.

The proposed logic change is even for the Swap deals, we only check one date 
condition (ref_dt > eff_dt).  I don't think there will be any double counting 
for books like GAS-DAILY-OPT-GDL after the change.

Let me know what you think.

Thanks,

Wei