Volumetric Optionality Model Changes

---------------------- Forwarded by Zimin Lu/HOU/ECT on 06/15/2000 08:19 AM
---------------------------

Natasha Danilochkina
06/15/2000 05:26 AM
To: David Gallagher/LON/ECT@ECT, Peter Crilly/LON/ECT@ECT, Richard
Lewis/LON/ECT@ECT, Haakon Olafsson/LON/ECT@ECT, Tony Fricker/LON/ECT@ECT,
Andrew Fairley/LON/ECT@ECT, Matthew Nicholas/LON/ECT@ECT, David
Redmond/LON/ECT@ECT, Steven McCarthy/LON/ECT@ECT, Dale Surbey/LON/ECT@ECT,
Matthew Nimmo/LON/ECT@ECT, Matthew Ferguson/LON/ECT@ECT
cc: Anjam Ahmad/LON/ECT@ECT, Zimin Lu/HOU/ECT@ECT, Steven
Leppard/LON/ECT@ECT, Stinson Gibner/HOU/ECT@ECT
Subject: Volumetric Optionality Model Changes

As a result of meetings with Zimin Lu (Houston Research) and Anjam Ahmad in
early June, the gas desk together with research will be revising the models
for pricing options on volume (swing) and similar products.

The idea is to have a consistent method that can be applied to all contracts.
This will affect:
flat price gas swing options
indexed gas swing options
J-Block contract
modified Thermbank contract
EnBank (virtual storage)

The new feature that will be introduced into all models is ability for
real-time MTM (and prospectively - sensitivities calculations).

The work will be carried out as follows:

Natasha Danilochkina: problem definition, contracts/products summary,
functional specification
Anjam Ahmad: Zimin's model modifications/implementation and Houston/London
interaction

start date: June 16th, 2000
end date: TBC