|
|
Enron Mail |
Anjam,
Please, talk to Trena about the quanto and barrier options we have in Exotica. Zimin can help if there are any questions if the models in Exotica fit exactly the customer's specification. Vince ---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 05/31/2000 08:08 AM --------------------------- Trena McFarland 05/31/2000 07:45 AM To: Vince J Kaminski/HOU/ECT@ECT cc: Subject: WTI products ---------------------- Forwarded by Trena McFarland/LON/ECT on 31/05/2000 13:46 --------------------------- Morten E Pettersen 31/05/2000 07:29 To: Trena McFarland/LON/ECT@ECT cc: Subject: WTI products ---------------------- Forwarded by Morten E Pettersen/OSL/ECT on 31.05.2000 14:28 --------------------------- Rousseau Anai@ENRON_DEVELOPMENT 31.05.2000 11:03 To: Morten E Pettersen@ECT cc: Joseph P Hirl/ENRON_DEVELOPMENT@ENRON_DEVELOPMENT Subject: WTI products MEP As discussed, LTCB would like indicative offers for 2 products. They would like the prices by tomorrow so that they can take it to their client (who has a long oil position). Could you also get any other relevant information about these products/prices so that I can talk to the guy about them. 1) Quanto Client buys quanto option at the money with a strike of, say 3,030Y/barrel (Y/$107.5 multiplied by current WTI price of $30) Maturity of transaction is 1 year (say June 2001) and the notional amount of the transaction is 3 million barrels 2) WTI trigger $ put option Client buys $ put option against the yen at a spot of Y/$107.5 with knock-in trigger level of WTI 80% for each dollar (so if WTI is $30/barrel, then knock in level is $24). The maturity of the option is 1 year (say June 2001) and the notional amount is $90 million Rousseau
|