Message-ID: <18774241.1075856259922.JavaMail.evans@thyme>
Date: Fri, 17 Nov 2000 08:37:00 -0800 (PST)
From: zimin.lu@enron.com
To: stinson.gibner@enron.com
Subject: EOL WTI maket maker simulation model
Cc: vince.kaminski@enron.com
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Stinson,

I add the total P/L due to contract rollover.  When the number of trades is 
large
and the spread is not too small, the model prints a lot of money, dominated by
those trade earning the half of BO spread. 

I also wrote an explaination about the model on the front page. I think we 
are 
ready to deliever the model V.1.

The next step is to incorporate the intra-day market movement by using high 
and low
prices into the pricing.  I will call you on Monday.

Happy Thanksgivings !

Zimin
