Enron Mail

From: paulo.issler@enron.com To: john.griffith@enron.com Subject: Basis Swpation Cc: Bcc: Date: Fri, 16 Mar 2001 07:49:00 -0800 (PST) John: I think I like the approach you took in your first spreadsheet. Note that the spread option model takes rates expressed as continious rates. That is not consistent with the rates we have on our AA curves. I suggest you change to your original valuation. Thanks Paulo Issler