Re: GAS-DAILY-OPT-GDL

That sounds fine to me. If I'm reading it correctly, we are actually
changing the other Gas Daily books to have the same logic as the Gas Daily
Options book currently has. If my understanding isn't correct please let me
know. But I think everything thing should be okay to implement tomorrow.

Thanks,
Robin

Enron North America Corp.

From: Wei Hu 07/05/2000 06:11 PM

To: Robin Rodrigue/HOU/ECT@ECT
cc: Ganapathy Ramesh/HOU/ECT@ECT
Subject: GAS-DAILY-OPT-GDL

Robin,

The current logic for processing Gas Daily books is as the following:

If it is a Swap deal (swap_cd is 'S' in ERMS), we check two date conditions
(ref_dt < eff_dt and ref_dt < nextMonthDt);
If it is a Option deal (opt_cd is 'O' in ERMS), we only check one date
condition (ref_dt < eff_dt).

That's why you saw prompt month positions for 'GAS-DAILY-OPT-GDL', those are
all from Option deals. Other Gas Daily books either don't have prompt month
positions or the delta position is zero, so you don't see it.

The proposed logic change is even for the Swap deals, we only check one date
condition (ref_dt < eff_dt). I don't think there will be any double counting
for books like GAS-DAILY-OPT-GDL after the change.

Let me know what you think.

Thanks,

Wei