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Enron Mail |
Naveen and Matthew,
I started looking systematically through UK positions and corresponding VAR numbers in the RisckRac. I found a few inconsistencies so far. 1. The portfolio E1SB1-NBP has a book E1SB1 under it. The sum of delta positions for this book is 239,021,655, the sum of gamma positions is -211,031,450. VAR for the portfolio E1SB1-NBP is zero. The same refers to a few other portfolios, for example E1SB2-NBP, E1SB3-NBP, E2XX1-NBP. 2. The portfolio E1SBP1-PPP also has the book E1SB1 under it. This book contains the positions on PPPWD1 through PPPWD6 and PPPWE1 through PPPWE4. The same refers to the other books, for example E1SB2. This looks messy. Can someone in RAC go over all the portfolios, all the corresponding books and curves in RisktRac and make sure they are set up properly? Thank you, Tanya.
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