RE: Cross-commodity desk

In school books we study exactly your example from the bank.

But in our case, we are studying the HDD contract that pays financially in MMBtu (gas). So the tick size of the transaction would be MMBtu/DD rather than $/DD.

Claudio

-----Original Message-----
From: Zipper, Andy
Sent: Thursday, June 07, 2001 3:04 PM
To: Ribeiro, Claudio
Subject: RE: Cross-commodity desk

Claudio,

I agree with you. The first bullet point will be easier to implement. Generally I have found that there is sufficient divergence of opinions amongst wholesale players that you can get positions on that you want.

My goal would be to fulfill the function of both bullet points. I think there are pockets of risk management of complex relationships around the firm, but no group dedicated to it. Clearly we will need quantitative rigor to serve those functions.

questions: I am familiar with Quantos from my banking days, where a USD interest rate option pays off in a non USD currency at a fixed exchange rate. What is the specific structure of the options you are looking at.

Regards,
Andy