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Enron Mail |
Stacey,
Based on Jeremy's responses below, looks like we can use an alternative interest rate curve and keep the USD without system changes. Martha -----Original Message----- From: Wong, Jeremy Sent: Monday, October 29, 2001 10:25 AM To: Stevens, Martha Cc: Le, Trang Subject: RE: Argentina Gas Transactions in ERMS Just 1 correction: PostID Currency - USD PostID OTC Int Type Crv - alternative Arg interest rate curve Deal Currency - USD Deal Level Interest curve - AA INT -----Original Message----- From: Stevens, Martha Sent: Monday, October 29, 2001 10:04 AM To: Wong, Jeremy Cc: Le, Trang Subject: RE: Argentina Gas Transactions in ERMS Jeremy, Just to make sure I understand correctly. Let's assume the following: PostID Currency - USD PostID OTC Int Type Crv - alternative Arg interest rate curve Deal Currency - USD Deal Level Interest curve - alternative Arg interest rate curve Results: The portcalc would be valued using the alternative Arg interest rate curve. This would require no special coding changes to ERMS. Please confirm. Thanks for the assistance. Martha -----Original Message----- From: Wong, Jeremy Sent: Friday, October 26, 2001 6:30 PM To: Stevens, Martha Cc: Le, Trang Subject: RE: Argentina Gas Transactions in ERMS If your Portcalc calcs. with an output currency code of "USD", and your deals are booked in TAGG to "AA INT" for Int (interest rate curve), then PortCalc will use the interest rate curve you specify in your PostId. Are your books EI-ARG-GAS and EI-ARG-GAS-TRSP? These 2 books do satisfy the above requirements, so if you specify an alternate interest rate curve in your PostId, PortCalc will PV with that curve. -----Original Message----- From: Stevens, Martha Sent: Friday, October 26, 2001 5:05 PM To: Wong, Jeremy Cc: Le, Trang Subject: Argentina Gas Transactions in ERMS Jeremy, Due to the high probability that the Argentine peso and the USD will NOT continue to be linked 1 to 1, we need to begin valuing the portfolios using an Argentina interest rate curve. You and I spoke a couple of weeks ago and I recall that you thought it would require system changes. After our conversation, I happened to notice a drop down field in TAGG called Int. Is this field used to specify which interest rate curve is used to PV the portfolio regardless of the currency? At this time we need to be able to specify USD but PV at an alternative curve. Another option I though about was possibly adding a new currency called ArgUSD and having it use the alternative interest rate curve. Let me know what your thoughts are on a solution for our problem. Martha x34742
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