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From: alex.huang@enron.com To: stinson.gibner@enron.com, paulo.issler@enron.com Subject: Compound Option Model Validating Cc: vasant.shanbhogue@enron.com, vince.kaminski@enron.com Bcc: vasant.shanbhogue@enron.com, vince.kaminski@enron.com Date: Mon, 20 Nov 2000 05:59:00 -0800 (PST) Hi all, I have made modifications on the model as requested. It now handles different volatility curves as well as 4 different hour blocks. Alex