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Enron Mail |
Stinson,
Let's talk about it. It seems like an open personality clash developing for the first time in the history of the group. Vince ---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 05/02/2001 03:12 PM --------------------------- Zimin Lu 05/02/2001 01:41 PM To: Paulo Issler/HOU/ECT@ECT cc: (bcc: Vince J Kaminski/HOU/ECT) Subject: Re: Asian Option for Pavel Our convention is whoever finalizes the model should write the documentation. It does not make sense to write one when changes are anticipated. You have been working on this almost a year, it never strikes you that we need a documentation ? I created Exotica.xll, does that also give you an excuse not working on Exotica documentation ? Zimin Paulo Issler 05/02/2001 11:52 AM To: Zimin Lu/HOU/ECT@ECT cc: Tai Woo/ENRON@enronXgate @ ENRON, Pavel Zadorozhny/Enron@EnronXGate Subject: Re: Asian Option for Pavel I am surprised that we do not have the documentation ready. I can make that for you. It is not there because you did not put that together by the time it was created and all the changes I have made did not required changes on the functionality. Paulo Issler Zimin Lu 05/02/2001 11:29 AM To: Tai Woo/ENRON@enronXgate @ ENRON, Paulo Issler/HOU/ECT@ECT cc: Pavel Zadorozhny/Enron@EnronXGate Subject: Re: Asian Option for Pavel Tai Woo, Here are the c-codes for the CrudeAPO. 'Sig' is the spot volatility meaning the price volatility within the delivery period. You should consult with Pavel for the definition of this "extra" parameters. We would like to see the Position Monitor once you get it running. We might have some additional suggestions. Paulo, Why don't we have a documentation on CrudeAPO you worked on ? I can not find it in Exotica help file. Please supply that to Tai, thanks. -------------------------------------- From: Tai Woo/ENRON@enronXgate on 05/02/2001 09:55 AM To: Paulo Issler/HOU/ECT@ECT cc: Kara Maloney/ENRON@enronXgate, Zimin Lu/HOU/ECT@ECT Subject: Asian Option for Pavel This morning, Zimin told me that Pavel is using a special model in evaluating his Asian option portfolio. He asked me to talk to you in order to access to the code so that I can see the difference made to the model. As I cannot find the doc. describing this model, please tell me what that new input parameter 'Sig' is. Thanks,
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