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Enron Mail |
August 27, 2001
Enron North America Corp. Vince Kaminski 1400 Smith Street 30th Floor, Rm. 3036B Houston, TX 77002-7361 1 713-853-3848 Dear Vince Kaminski, This is to inform you of the release of @ENERGY v2.2. FTP download instructions are available immediately. The download instructions are included at the end of this email. Please see below for more information regarding this new release. Please confirm that your address above is correct by clicking reply and send. If any changes need to be made, please make the changes above and reply. Here is an overview of the new features from the release notes: @ENERGY (Forward Curve) No change. @ENERGY (Basics) No change. @ENERGY (Advanced) No change. @ENERGY (Swing) No change. @ENERGY (Weather) No change. @ENERGY (Storage) Module @ENERGY (Storage) is the new module for analyzing storage contracts. The two new functions specifically designed for valuation and management of storage contracts are: 7 STORAGEOPT and MCSTORAGEOPT To get familiar with these new functions, we recommend that you first read the brief description of the type of storage contracts supported in the Instruments section. A description of the methodology used for valuation is provided in Storage Methodology. The template storage.xls will help you understand in details input requirements, as well as the output generated by these functions. See the file fea\energy\ergnote.txt in your distribution for a list of bug fixes. Here is an overview of the new and changed features since Version 2.0. @ENERGY (Forward Curve) No change. @ENERGY (Basics) A control variate methodology Hull (1997) has been implemented for valuation of American options (OPT), Black and Mean-reverting models. It greatly improves accuracy at minimal cost in speed. All models now supports new scalar risk measures corresponding to parallel displacement delta, hedge, and gamma. Average price/strike options now support an alternative way of computing theta. The definition of Gamma curves has been modified for all models. @ENERGY (Advanced) A faster and more accurate methodology is used to value spread options. Models affected are SPREADOPT, STRIPSPREADOPT, OPTSPREADOPT, OPTSTRIPSPREADOPT. The new methodology dramatically improves speed. All models now supports new scalar risk measures corresponding to parallel displacement delta, hedge, and gamma. Average price/strike options now support an alternative way of computing theta. The definition of Gamma curves has been modified for all models. @ENERGY (Swing) The definition of Gamma curves has been modified for all models. @ENERGY (Weather) No change. See the file fea\energy\ergnote.txt in your distribution for a list of bug fixes. Your input into the refinement of this product is welcome and greatly appreciated. Any comments or suggestions may be sent to support@fea.com . If you have any questions please feel free to contact us. We appreciate this opportunity to be of continuing service to Enron North America Corp.. Regards, Michelle Mendoza Email to: Support@fea.com or michelle@fea.com Direct Tel: +1-510-549-8702 *111 Financial Engineering Associates, Inc. ************************************************************************* To download @ENERGY via FTP, follow these instructions: NOTE: Using EXPLORER leads to unpredictable results, so we suggest using NETSCAPE or a DOS shell. USING NETSCAPE: In the Location box type: ftp://energy@ftp.fea.com Password: a9uk4xxk energy-2.2-win32.exe is for Excel 7, 97SR1, 2000, XP; for Windows 95/96/2000/NT/ME; download and run on a local drive. USING A DOS SHELL: At a DOS prompt type: ftp ftp.fea.com User: energy Password: a9uk4xxk Type "binary" and hit 'return'. Type "ls" for a list of available files. Type "get" energy-2.2-win32.exe and and wait for the ftp< prompt. Type "quit". The file will be downloaded into the directory at which you entered the ftp site. Double click on the exe and follow the instructions on the screen. ----- There is also a readme file which contains installation instructions. You may wish to print this out for easy reference. N.B.: The password is only valid until the first Friday of next month.
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