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Iris
what is the difference between this spark spread function call and the one = being used in the spreadsheets we use ? Harry -----Original Message----- From: =09Mack, Iris =20 Sent:=09Wednesday, October 24, 2001 10:34 AM To:=09Danilov, Viacheslav; Issler, Paulo Cc:=09Arora, Harry Subject:=09FW: Models << File: CrackSpreadOptions.xls <<=20 Hi Slava, =09Paulo says you have some questions about what we're doing with spark spr= eads. =09He did not give me any specifics as to what you needed. Give me at call= at X3-6711 for more details. =09In the mean time, I have been developing exotic options modules/tutorial= s for the power trading floor. One of the modules is on spark spreads - p= lease see attached file. =09 Regards, Iris -----Original Message----- From: =09Issler, Paulo =20 Sent:=09Wednesday, October 24, 2001 10:26 AM To:=09Mack, Iris Cc:=09Danilov, Viacheslav Subject:=09FW: Models Iris: I think you are the expert on how we are trading spark spreads (if we are d= oing any). Slava wants to know more about it. I appreciate if you contact h= im directly.=20 Many Thanks. Paulo Issler -----Original Message----- From: =09Danilov, Viacheslav =20 Sent:=09Tuesday, October 23, 2001 2:05 AM To:=09Issler, Paulo Subject:=09RE: Models Paulo, thank you very much.=20 we will look at all your work. just to remind you on spark spread options. many thanks, Slava -----Original Message----- From: =09Issler, Paulo =20 Sent:=0923 October 2001 01:00 To:=09Danilov, Viacheslav Subject:=09Models Slava: Here are the files related to the models I mentioned in our phone coversati= on. FwdFwd Vols: Here is a spreadshet implementing a technique for calculating fwd fwd volat= ilities for seasonal vol curves. The approach avoids the issue of geting ne= gative fwd fwd variances when using the traditional approach. It makes nece= ssary, however, to develop a specific fwd fwd vol curve for each contract m= onth.=20 Here is how it works: =091) Create a variance curve: Var =3D vol*vol*(Ti-t) =092) Fit a desoasonalized curve with functional form: y =3D a*(tb)?=093) c= alculate fwd-fwd variances for the desoasonal curve:?=094) Calculate fwd-fw= d vols for each month by multiplying the ?=09 fwd-fwd variance curve by = a factor equal to:?=09=09=09SQRT(Var(Contract Month)/Var(fit))??? << File: = FwdFwd.xls << ?I implemented a C code for calculating that. This, with the = omicron vols may be used to model the gas curve evolution in a HJM framewor= k.?? << File: fwdfwd.c << << File: FwdFwdw.c << ??Swing Options:?Here is t= he code and documentation for the swing option:?? << File: XLCALL32.LIB << = << File: bico.c << << File: factln.c << << File: FRAMEWRK.C << << File:= FRAMEWRK.H << << File: FSSwing.c << << File: FSSwingOpt.c << << File: F= XSwing.c << << File: FXSwingOpt.c << << File: gammln.c << << File: Inter= polate.c << << File: nrutil.c << << File: nrutil.h << << File: SwingOpt.= def << << File: SwingOptW.c << << File: SwingW.c << << File: XLCALL.H <<= << File: Bdt.c << << File: Swing Model.doc << ?Here are the spreadshets = examples:?? << File: FSSwingOpt.xls << << File: FXSwingOpt.xls << ?LookBac= k:?Here is my implementation for the lookback option with fixed strike. It = uses an analytical solution in which prices are sampled continiously over t= ime. It still provides a good approximation for a discrete daily sampling:?= ? << File: XLCALL32.LIB << << File: Cumnorm.c << << File: framewrk.c << = << File: framewrk.h << << File: FxLKBK.c << << File: FxLKBK.def << << Fi= le: Integration.c << << File: lkbkTEST.xls << << File: nrutil.c << << Fi= le: nrutil.h << << File: put.c << << File: xFxLKBK.c << << File: XLCALL.= H << << File: call.c << ?Let me know if you got them all.?Give me a call w= ith your questions/concerns.?Thanks.?Paulo Issler?
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