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Enron Mail |
John:
Here is the spreadsheet for valuing and hedging the quanto swap. It prices the swap for one day. Please note the delta position on gas that needs to be taken since inception. The gas position changes as we enter into the correlated period (hit F9 to see different scenarios). For the sake of simplicity I used a zero interest rate (that does not change the hedging issues). "TS" is the ticker size (MMBTUs/HDDs). I made it the unit for simplicity also. Let me know your questions and opinion. Paulo Issler
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