Message-ID: <32387729.1075862459456.JavaMail.evans@thyme>
Date: Thu, 25 Oct 2001 16:27:29 -0700 (PDT)
From: paulo.issler@enron.com
To: bill.white@enron.com, mario.de@enron.com, john.griffith@enron.com, 
	eric.moon@enron.com, santiago.garcia@enron.com, 
	mark.breese@enron.com
Subject: Historical Correlation Calculator
Cc: pinnamaneni.krishnarao@enron.com, bob.lee@enron.com, 
	rakesh.bharati@enron.com, tanya.tamarchenko@enron.com, 
	j.kaminski@enron.com, zimin.lu@enron.com, 
	vasant.shanbhogue@enron.com
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I finished a spreadsheet for calculating historical correlations on forward curves. It gives the correlation matrix for contracts going out an arbritary number of months out. I think it might be a handy tool for some of you.

You may get that on O:\RESEARCH\CUSTOM\CORRELMATRIX\

It demands that you have access to our EGSPROD32 database. You must have that configured in your ODBC. It is a large spreadsheet, so it may take some computing resorces. Let me know if you find any problem.

Thanks.
Paulo Issler   