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Enron Mail |
For VAR 95 using a Delta gamma approach
1.645 * position * price * daily vol = VAR Remember daily vol is implied vol divided by sqrt of time or 16 in this case. How do you like your new digs? -----Original Message----- From: Parks, Joe Sent: Friday, April 12, 2002 7:58 AM To: Hayden, Frank Subject: var hey, how are you? can you send me an example of how you callculate var on contracts. for example: price is 3.10, 100 contracts, vol. 60% "SHOW ME THE MATH" JOE 832-851-2821
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