Message-ID: <816433.1075856595799.JavaMail.evans@thyme>
Date: Thu, 7 Dec 2000 07:54:00 -0800 (PST)
From: tanya.tamarchenko@enron.com
To: wenyao.jia@enron.com
Subject: Re: implementation of smothing algorithm for forward forward
 volatilities calculation
Cc: rabi.de@enron.com, jaesoo.lew@enron.com, naveen.andrews@enron.com, 
	vince.kaminski@enron.com, vladimir.gorny@enron.com
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Winston, 
I am sending you the documentation on the new methodology for creating ffvols
from implied vols. This methodology requires some minimization procedure
to fit the given vol curve with a smoothing function. I am sending you the
code I wrote that performs minimization with simulated annealing method from 
Numerical Recipes.

We might need to discuss some details. Please, let me know if you have 
questions.

Tanya.




