EOL WTI maket maker simulation model

John,

Here is the spreadsheet Zimin built for estimaing P/L from trading WTI
forwards. Let Zimin, Vince, or I know if you have questions or comments.

--Stinson

---------------------- Forwarded by Stinson Gibner/HOU/ECT on 11/20/2000
11:14 AM ---------------------------

Zimin Lu
11/17/2000 04:37 PM
To: Stinson Gibner/HOU/ECT@ECT
cc: Vince J Kaminski/HOU/ECT@ECT
Subject: EOL WTI maket maker simulation model

Stinson,

I add the total P/L due to contract rollover. When the number of trades is
large
and the spread is not too small, the model prints a lot of money, dominated by
those trade earning the half of BO spread.

I also wrote an explaination about the model on the front page. I think we
are
ready to deliever the model V.1.

Zimin