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Enron Mail |
John,
These are the files that we talked about on our very first meeting some weeks ago. I originally made these for Mario de la Ossa, an options trader on the Crude Products desk. VolSkew.xls takes market data for options with different strikes and premiums and calculates the skew. FetchContract.xls calculates descriptive statistics for contracts based on historic pricing data. Feel free to give me a call if you have any questions about the files. I would be happy to modify them to fit your setup and pricing models. ken ---------------------- Forwarded by Kenneth Parkhill/NA/Enron on 04/10/2001 01:46 PM --------------------------- Kenneth Parkhill 04/10/2001 09:10 AM To: Paulo Issler/HOU/ECT@ECT cc: Subject: vol skew files
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