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Enron Mail |
Tanya,
Thank you for the information. I agree that we need to talk about more what and how Global Valuation can facilitate a more competitive VAR engine. Winston and Nilay are going to give my group a presentation regarding the current VAR system next Tuesday. I am sure the presentation will help my team better understand the requirements of VAR engine on Global Valuation. Please join us if you have the time. I would also appreciate your insight on this matter. Thanks Zhiyong Tanya Tamarchenko 01/08/2001 11:09 AM To: Zhiyong Wei/HOU/ECT@ECT, Nilay Basu/HOU/ECT@ECT, Wenyao Jia/HOU/ECT@ECT cc: Vince J Kaminski/HOU/ECT@ECT Subject: Re: real time VAR Ziyong, we met with Nilay and Winston last week regarding real time VAR calculation possibility. Winston has an overview of VAR System which consists of: - Main Curves Simulation; - Curve Server; - Book Server; - ID Server - Clients As a first step I want to see where the time is spent when VAR runs, which percentages of time are spent by each part. Nilay is going to get this information for a few portfolios (AGG-ECT, AGG-GAS and NG-PRICE-PRC). Preliminary information: currently VAR run takes about 1 hour, half of this time taken by "Book Server" (we have about 4500 lower level portfolios in the portfolio hierarchy, about 5500 portfolios all together), most of the rest is taken by "Clients", "Main Curves Simulation" does not take much time. I am looking also at using alternative methods of faster VAR calculation, but having so many portfolios in the hierarchy will slow down even analytical VAR. We also have to think more about what "real time" calculation means and what it should produce. Tanya
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