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Enron Mail |
Stinson,
I add the total P/L due to contract rollover. When the number of trades is large and the spread is not too small, the model prints a lot of money, dominated by those trade earning the half of BO spread. I also wrote an explaination about the model on the front page. I think we are ready to deliever the model V.1. The next step is to incorporate the intra-day market movement by using high and low prices into the pricing. I will call you on Monday. Happy Thanksgivings ! Zimin
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