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Enron Mail |
Winston and Jin,
for last half year the following developments were implemented by Jin for vatrfacs code (the calibration code for VAR): 1. Weighting the log-returns with exponential decay factor while calculating correlations; 2. Calculating factors and correlations for UK curves; 3. Joint estimation of factor loading for selected groups of commodities; 4. Alternative method for collecting historical data for correlations calculation (based on fixed contract instead of collecting prompt, prompt+1, etc. prices) In order to release these developments Research has to have each version under Clearcase. Then we will: 1. Run vatrfacs code in stage environment (stage has been refreshed recently). 2. Run VAR code in stage and validate the results. It is time to start releasing these 4 versions. Projects 3 and 4 require some experimental runs in stage. A few traders (in Gas, Power and Liquids markets) are expecting the results. Meanwhile the following developments have been suggested by Reseach, approved by Risk Control, submitted to IT as spreadsheet prototypes and waiting in line: 1. Volatility blending for intramonth power positions; 2. Forward volatility smoothing and extracting forward forward volatilities; Hope we can follow our procedures to make all these developments go smoothly and efficiently. Tanya.
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