Enron Mail

From:zimin.lu@enron.com
To:stinson.gibner@enron.com, vince.kaminski@enron.com
Subject:Market Maker simulation V.2
Cc:
Bcc:
Date:Wed, 29 Nov 2000 08:41:00 -0800 (PST)

Stinson and Vince,

I finished the second version of the model which deals with Open to Close
trading.
The major difference is that there is an additional mark to market at Open
price which
will affect the P/L.

I also added the output features that John wants to see.

The cumulative P/L is path dependent, the Net Open Allowed seemingly has
a strong influence on the cumulative P/L trajectory. (the anomaly I
discussed
with Vince is due to the trajectory shape change which needs further
examination).

Could you review what I have done before we talk to John again ?


Zimin