Message-ID: <26362254.1075856597194.JavaMail.evans@thyme>
Date: Wed, 28 Jun 2000 02:38:00 -0700 (PDT)
From: zhiyong.wei@enron.com
To: keith.bowie@enron.com
Subject: Re: PortCalc methodology
Cc: vince.kaminski@enron.com, stinson.gibner@enron.com, grant.masson@enron.com
Mime-Version: 1.0
Content-Type: text/plain; charset=us-ascii
Content-Transfer-Encoding: 7bit
Bcc: vince.kaminski@enron.com, stinson.gibner@enron.com, grant.masson@enron.com
X-From: Zhiyong Wei
X-To: Keith Bowie
X-cc: Vince J Kaminski, Stinson Gibner, Grant Masson
X-bcc: 
X-Folder: \Vincent_Kaminski_Jun2001_5\Notes Folders\C:\Technote\Mail\Techmemos
X-Origin: Kaminski-V
X-FileName: vkamins.nsf

Keith,

Both power and EMRS use a C library provided (also implemented) by research 
group. The methodology of greek calculations in power portcalc has not 
changed for more than 6 years since I joined Enron 6 years ago. Vince 
Kaminski, Stinson Gibner or Grant Masson should be able to help you with both 
questions.

Zhiyong




Keith Bowie
06/28/2000 04:22 AM
To: Zhiyong Wei/HOU/ECT@ECT
cc: Brian Hudson/LON/ECT@ECT 
Subject: PortCalc methodology


Zi

I've been asked by Risk Management:
a)  who in research originally signed off the PortCalc formulae
b) for a copy of the documentation of the methodology (greek calculations, 
etc.)

Hope you can help on both counts.

Thanks

Keith



