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Enron Mail |
New market we are trying to develop in Benzene swaps - possibly hedging with
financial naphtha and physical toluene. Rgds, Anjam ---------------------- Forwarded by Anjam Ahmad/LON/ECT on 14/03/2000 10:35 --------------------------- Anjam Ahmad 14/03/2000 10:34 To: Robert Brewis/LON/ECT@ECT, Stuart Bland/LON/ECT@ECT cc: Dale Surbey/LON/ECT@ECT, Hrvoje Paver/LON/ECT@ECT, Stinson Gibner/HOU/ECT@ECT, Tracy Wallace/LON/ECT@ECT Subject: Benzene Forward Curve & Hedge Calculator Dear All, Attached is the spreadsheet "BenzeneCurves.xls" (also available in S:\RESEARCH\GLOBALPRODUCTS) that will hopefully allow you to derive a mid-curve for Benzene based upon our existing naphtha curve produced by Tracy. The previous hedge ratio analysis is still part of the new spreadsheet. For clarity a graph of the curve based on 1996 through 2000 data is depicted below: I can also provide confidence bands on the regression model, if this can assist in deciding the bid-offer spread for the forward curve, but this is slightly more involved - let me know you'd like this. Regards, Anjam x35383 ATTACHMENT:
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