Message-ID: <7661985.1075856324098.JavaMail.evans@thyme>
Date: Mon, 5 Jun 2000 06:26:00 -0700 (PDT)
From: tanya.tamarchenko@enron.com
To: wenyao.jia@enron.com, grant.masson@enron.com
Subject: Re: FF vols from historical fwd price curves
Cc: vince.kaminski@enron.com
Mime-Version: 1.0
Content-Type: text/plain; charset=us-ascii
Content-Transfer-Encoding: 7bit
Bcc: vince.kaminski@enron.com
X-From: Tanya Tamarchenko
X-To: Wenyao Jia, Grant Masson
X-cc: Vince J Kaminski
X-bcc: 
X-Folder: \Vincent_Kaminski_Jun2001_1\Notes Folders\All documents
X-Origin: Kaminski-V
X-FileName: vkamins.nsf

Winston,
I am sending you FFD vol curves which are calculated based on 1 month (18 
log-returns)
of data with 0.97 decay factor. These vols give $3.14 M in VAR for 
STORAGE-PRC (versus 3.37 in production
for 5/30/00).

Tell me what I need to change in the format so that it is convenient for you.

Tanya
