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Enron Mail |
Tanya,
I went through the comparisons for the Liquids curves and the appearance of clear parallel shifts, etc, do begin to emerge when fewer forward prices are used. It looks sensible. I have passed the graphs over to the liquids people, and I have asked them to identify rough term structure months when illiquidity begins for these curves. It might coincide with your assumptions. I am surprised by Brent and Dubai, which should be WTI-clones. Naveen Tanya Tamarchenko@ECT 10/04/2000 04:35 PM To: Naveen Andrews/Corp/Enron@ENRON, Vladimir Gorny/HOU/ECT@ECT cc: Vince J Kaminski/HOU/ECT@ECT, Kirstee Hewitt/LON/ECT@ECT Subject: Re: factor loadings for primary curves Naveen & Vlady, Jin Yu finished debugging the vatrfacs code and now it calculates factor loadings for every "primary" curve (except power curves). I am sending you the calculated factors: Most of them don't look good. 60 forward prices were used in calculations for each commodity. I reran the code using fewer forward prices depending on the commodity (12 prices for C3GC,MTBE,NC4,SO2, 17 prices for NXHO, 18 - for SA, 24 for C2GC, LAX_JFK,, 30 -for Condensate, Dubaicrude, Brent,, 48 for NSW, Semichem-Risi) These results are in Most of them look much better. Please, review. We will have to add a column in rms_main_curve_list to specify how many forward prices we want to use for each commodity, and then use the new factors in the VAR model. Tanya.
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