Message-ID: <13363358.1075855067380.JavaMail.evans@thyme> Date: Wed, 17 Oct 2001 16:08:22 -0700 (PDT) From: paul.y'barbo@enron.com To: pinnamaneni.krishnarao@enron.com Subject: RE: Spread Data Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Y'Barbo, Paul X-To: Krishnarao, Pinnamaneni X-cc: X-bcc: X-Folder: \PYBARBO (Non-Privileged)\Sent Items X-Origin: Ybarbo-P X-FileName: PYBARBO (Non-Privileged).pst Krishna, I modified the file you sent to me (see attached). For OPT TYPE, what is the code for a Call? for a Put? How does this modified model look? The data is monthly prices. I changed the formula for Vol. Did I get it right? Paul -----Original Message----- From: Krishnarao, Pinnamaneni Sent: Wednesday, October 17, 2001 5:41 PM To: Y'Barbo, Paul Subject: RE: Spread Data Probably yes. Paulo Issler in our Research group maintains the exotica files, contact him for details on those files. exotica1 is probably a backup file. Krishna. -----Original Message----- From: Y'Barbo, Paul Sent: Wednesday, October 17, 2001 5:21 PM To: Krishnarao, Pinnamaneni Subject: RE: Spread Data Krishna, Do you mean the /Research/Exotica/xll directory? Is the exotica1.xll addin the same as the exotica.xll addin? Paul -----Original Message----- From: Krishnarao, Pinnamaneni Sent: Wednesday, October 17, 2001 2:50 PM To: Y'Barbo, Paul Subject: RE: Spread Data Here is what we had done for Kim before. In the PGE_Permian.xls file, the option values are in cells starting M30. In Excel, you need to load the exotica.xll addin which is in /Research/Exotica directory on your common drive. Load the addin and say NO to "copy to your local drive?" Also, see the "Results" sheet for volatility and correlation calculations. Krishna. << File: PGE_PERMIAN.xls >> << File: SOCAL_PERMIAN.xls >> -----Original Message----- From: Y'Barbo, Paul Sent: Wednesday, October 17, 2001 2:32 PM To: Krishnarao, Pinnamaneni Subject: Spread Data Krishna, Please see attached data on the pages named "MO IND DATA" and "Basis Forwards". I am interested in understanding the math associated with valuing calls and puts on the spread between the index points. Also, do you have an option pricing model that I could have? My office number is 5-4173. Thanks, Paul P.S. Do you recall the work that you did for Kim Watson in the past? << File: NAT GAS Prices GRAPH.xls >>