Re: PortCalc methodology

Keith,

Both power and EMRS use a C library provided (also implemented) by research
group. The methodology of greek calculations in power portcalc has not
changed for more than 6 years since I joined Enron 6 years ago. Vince
Kaminski, Stinson Gibner or Grant Masson should be able to help you with both
questions.

Zhiyong

Keith Bowie
06/28/2000 04:22 AM
To: Zhiyong Wei/HOU/ECT@ECT
cc: Brian Hudson/LON/ECT@ECT
Subject: PortCalc methodology

Zi

I've been asked by Risk Management:
a) who in research originally signed off the PortCalc formulae
b) for a copy of the documentation of the methodology (greek calculations,
etc.)

Hope you can help on both counts.

Thanks

Keith