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Enron Mail |
Marty:
Absolutely yes! We are now using option functions in the Exotic options library (in R:\Exotica which everybody in Risk Management has access to) instead of the old Visual Basic code in the powermod file. This improved the calculation speed for options quite a bit. We are also embarking on a new project to develop the next generation structuring and pricing models. I will discuss about this project in more detail with you soon and get your input, but the main goals I see now are: 1. Superior performance (speed) to enable fast pricing especially for the underwriting group, 2. Proper documentation for easy maintenance and ability to quickly adapt to meet future needs, and 3. Security/access control to the files. The first stage in this process is to take inventory of what we have: I am documenting the current structuring models. This step is important not only for developing our next generation models but also for the AA audit of all the EES pricing models. Krishna. To: Maureen Craig/HOU/EES@EES, Pinnamaneni Krishnarao/HOU/ECT@ECT, Dennis Benevides/HOU/EES@EES cc: Subject: New POWERMOD97.xls any performance improvement to be expected? ---------------------- Forwarded by Marty Sunde/HOU/EES on 07/26/2000 10:14 AM --------------------------- Pinnamaneni Krishnarao@ECT 07/24/2000 01:37 PM To: Dennis Benevides/HOU/EES@EES, James W Lewis/HOU/EES@EES, Neil Hong/HOU/EES@EES cc: Marty Sunde/HOU/EES@EES, Alexios Kollaros/HOU/EES@EES Subject: New POWERMOD97.xls We have made enhancements to POWERMOD97.xls model to enable proper processing from the batch model. These changes should not affect current functionality of this file. We will be putting the new version into production later today. Please contact me or Alex Kollaros (x39806) with your comments or problems. Thanks, Krishna x35485.
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