RE: Var simulation

Andy,
Here are some numbers. For the options, we have used your vols, for swaps our system vols. I was not able to work on the GD stuff because our system cannot get a VaR on those on-the-fly (though it does calculate it). We don't have access to UBS's models. We will be using our model. They use Historical Simulations which are not very appropriate for a lot of energy products.
In 1 and 2, these were ATM straddles (average price in 2 was 2.30).

1) 500,000 mmbtu of a Mar NYMEX straddle. Srike: 2.05, vol:70%. VaR = $745
2). 500,000 mmbtu per month of an Apr02/Oct02 NYMEX straddle, Strike: 2.30 vol: 48% VaR = $16,356
3).500,000 mmbtu per mo0nth of a Nov02/Mar03 NYMEX straddle, Strike: 2.85, vol: 46% Will provide later
4). 500,000 mmbtu of a Mar NYMEX swap VaR = $73,863
5) 500,000 mmbtu of a Apr/Oct02 NYMEX swap VaR = $409,559
6). 5,000 mmbtu/d of a cal03 NYMEX swap VaR = $135000
7). Same for Nov02/Mar03 Will provide later
8). Short 500,000mmbtu Mar02 vs. long 80,000 mmbtu per month of Apr/Oct02 Will provide later

Lets discuss these when you have a look at it.
Naveen

-----Original Message-----
From: Zipper, Andy
Sent: Tuesday, January 29, 2002 2:24 PM
To: Andrews, Naveen
Subject: Var simulation

Naveen,

I would like to see what VaR is thrown off by a series of trades. Can you run the following strategies throught he Var model and let me know what the results are.

1). 500,000 mmbtu of a Mar NYMEX straddle. Srike: 2.05, vol:70%

2). 500,000 mmbtu per month of an Apr02/Oct02 NYMEX straddle, Strike: 2.30 vol: 48%

3).500,000 mmbtu per mo0nth of a Nov02/Mar03 NYMEX straddle, Strike: 2.85, vol: 46%

4). 500,000 mmbtu of a Mar NYMEX swap

5) 500,000 mmbtu of a Apr/Oct02 NYMEX swap

6). 5,000 mmbtu/d of a cal03 NYMEX swap

7). Same for Nov02/Mar03

8). Short 500,000mmbtu Mar02 vs. long 80,000 mmbtu per month of Apr/Oct02

9). short 500,000 mmbtu of Feb Gas Daily swap and long 500,000 mmbtu Mar Nymex swap

10).short 500,000mmbtu of Feb gas daily straddle, and long 500,000 mmbtu of Mar NYMEX Straddle

If any of the foward prices or vols in the system differ from what I have given you use what is in the system. I would also be interested in what the UBS model spits out for these if available.

Any questions give me a call.

Thanks,
Andy