|
|
Enron Mail |
Return-Path: <dtallam@numerix.com<
Received: from rly-yc04.mx.aol.com (rly-yc04.mail.aol.com [172.18.149.36]) by air-yc01.mail.aol.com (v77_r1.36) with ESMTP; Fri, 06 Apr 2001 16:23:00 -0500 Received: from nx.numerix.com (nx.numerix.com [63.71.167.197]) by rly-yc04.mx.aol.com (v77_r1.36) with ESMTP; Fri, 06 Apr 2001 16:21:59 -0400 Received: from nx.numerix.com (localhost [127.0.0.1]) by nx.numerix.com (8.9.3/8.9.3) with ESMTP id QAA02498 for <vkaminski@aol.com<; Fri, 6 Apr 2001 16:21:56 -0400 Received: from dtallam (hercules.numerix.com [63.71.167.196]) by nx.numerix.com (8.9.3/8.9.3) with SMTP id QAA02492 for <vkaminski@aol.com<; Fri, 6 Apr 2001 16:21:48 -0400 From: "Dean Tallam" <dtallam@numerix.com< To: <vkaminski@aol.com< Subject: NumeriX Solutions for Enron Date: Fri, 6 Apr 2001 16:16:40 -0400 Message-ID: <001001c0bed6$7e7d6600$da1ea8c0@dtallam< MIME-Version: 1.0 Content-Type: multipart/mixed; boundary="----=_NextPart_000_0011_01C0BEB4.F76BC600" X-Priority: 3 (Normal) X-MSMail-Priority: Normal X-Mailer: Microsoft Outlook CWS, Build 9.0.2416 (9.0.2911.0) Importance: Normal X-MimeOLE: Produced By Microsoft MimeOLE V5.50.4133.2400 Vincent, ? It was good speaking with you this afternoon. ? NumeriX provides versatile solutions for the pricing and risk management of complex derivative instruments. Of particular interest to Enron may be the use of NumeriX Tools for supporting energy derivatives. ? The energy solution provided is a versatile Excel/C/C++ environment for structuring and pricing complex derivatives in the electricity marketplace. The model is based on a microeconomic determination of one or multiple electricity forward curves. Power demands by utility companies are balanced with power generating plants'?production to determine the marginal price of electricity for multiple geographic regions. Inter-regional transmission constraints are imposed to calculate monthly forward prices for border stations. ? The?energy solution is based on Monte Carlo simulation. The regional power demands and fossil fuel prices are modeled as random processes where model parameters are determined from historical data. Marginal prices from different regions are used to determine border prices. This procedure is iterated over many scenarios and subsequent averages are taken to determine the forward COB prices. ? I. Overview NumeriX is a leading provider of?modular analytical toolkits and off-the-shelf applications that are used for structuring,?pricing and?quantifying the risk?of any?type of complex?financial instrument?or exotic derivative.?NumeriX solutions are designed for easy integration with existing in-house or third-party trading or risk management applications. NumeriX solutions include: NumeriX Tools NumeriX FI NumeriX FX NumeriX EQ Some of the key benefits of NumeriX solutions include: Support for all asset classes Fixed Income Instruments Equity Instruments Foreign Exchange Instruments Commodity Derivatives Credit Derivatives Insurance Products Ability to value any complex?financial instrument?or exotic derivative Increased instrument-valuation precision Leading-edge valuation models and calibration routines Enhanced risk management solutions Stable development platform for building pricing and riskmanagement solutions? II. NumeriX Analytics ? NumeriX?provides comprehensive solutions?that feature advanced tree, simulation (Monte Carlo), stochastic mesh and calibration methods for the following models: One-factor models: Hull-White/Extended Vasicek Black-Karasinski Black-Derman-Toy Black-Scholes Multi-factor models: Multi-factor Hull-White Multi-factor Black-Karasinski Brace-Gatarek-Musiela/Jamshidian NumeriX provides a Monte Carlo methodology that employs leading-edge technology with the following features/benefits: Increased accuracy and faster convergence Better sampling of tail events Adaptive number generation Points do not cluster or leave voids Support for correlated sequences Generates normal and lognormal sequential processes or concurrent?distributions with optional continuous or discrete bounds Supports public domain and NumeriX developed sequence generators III. NumeriX Tools ? NumeriX Tools is a suite of innovative development tools that provide speed, flexibility and ease of use for all aspects of derivatives pricing and risk management, including building new instruments and new models. A collection of object-oriented modules accessed through a well-designed interface available in C or C++, it includes core mathematical and computational functions required for complex derivatives pricing and risk management.? NumeriX Tools supports all financial asset classes and is designed to maximize flexibility and minimize development and computation time, each component of the NumeriX Tools integrates many cutting-edge algorithms into one intelligent, easy-to-use API. ? IV. NumeriX Applications ? NumeriX FI, designed for traders and risk managers, is a comprehensive and flexible off-the-shelf application for structuring, pricing, and quantifying the risk of any type of complex fixed-income instrument, interest-rate derivative, or exotic structure. NumeriX FI offers flexible and robust instrument-definition and structuring capabilities with advanced tree, simulation (Monte Carlo), stochastic-mesh and calibration methods for both single-factor and multi-factor pricing models. ? NumeriX FX provides valuation and risk management for a wide collection of plain and exotic foreign exchange options. NumeriX FX includes a variety of Black-Scholes pricing models with a choice of tree- or Monte Carlo-based simulation methodologies. ? NumeriX EQ provides valuation and risk management for a wide collection of exotic equity derivatives including barriers, basket options, chooser structures and convertible bonds. Please note that NumeriX EQ is in development and scheduled for release in Q3 of 2001. ? NumeriX CR provides valuation and risk management for a wide collection of exotic credit derivatives including credit swaps, asset swaps, total return swaps, spread options, credit-linked notes and credit basket structures. Please note that NumeriX CR is in development and scheduled for release in the later half of 2001. ? NumeriX solutions are?platform independent (Windows NT or Unix) and provided in?the form of C and C++ libraries?that are available either as?a modular toolkit,?designed to minimize?the development time for?structuring new products or models, or?as an application solution. NumeriX application solutions are available as an Excel application or as?DLLs designed for quick and easy integration with any third-party trading, risk management or straight-through processing trade support application. ? Attached you will find some additional materials describing specific NumeriX solutions. ? I look forward to speaking with you on Monday April 9, 2001 at 1:30 your time (2:30 PM NY time). ??? If you have any questions please feel free to give me a call at (212) 302-6225. ? Sincerely, ? ? Dean Tallam ? - NumeriX Tools-Detailed 2001.pdf - NumeriX FI 2001.pdf
|