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Enron Mail |
Kevin,
Thanks for the heads-up. I'm doing face-time with a customer on Wednesday, but I'm in all day tomorrow, Thursday and Friday (I've a got a deadline to meet this PM). When would it be convenient to meet, and could we do it early in the morning so as to be able to conference Ansguman Srivastav (Enron India) into the meeting? Regards, Marc Kevin Kindall@ENRON 10/30/2000 10:55 AM To: Marc De La Roche/HOU/ECT@ECT cc: Vince J Kaminski/HOU/ECT@ECT, Stinson Gibner/HOU/ECT@ECT Subject: JCC Good morning. I apologize for the response delay. I've gone back through the analysis that I did back in April, and have thrown around some ideas with Vince and Stinson. The issue may be summarized as follows. The hedge relationship was derived using JCC and prompt Brent, and is valid for JCC and prompt Brent. No problems here. However, it will not be valid for points far out on the forward curve. Intuitively, this hedge relationship will approach one as we move far out on the curve, but since there is no data, I can not statistically determine this. One can imagine a term structure of heding ratios that start at 0.67 and move to 1.0, so that the back end of the curves would move together, but how fast it converges to one is anyone's guess. If there is a way of determining the historical JCC forward curve, then the hedge relationships may be estimated. However, I have been unable to determine a rigorous approach to building the JCC curve. I can explain this far better in person, and would like to talk as soon as possible at your convenience. -Kevin Kindall
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