1 factor HJM for the propane project

---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 05/07/2001
03:35 PM ---------------------------

Zimin Lu
05/07/2001 01:39 PM
To: Stinson Gibner/HOU/ECT@ECT
cc: (bcc: Vince J Kaminski/HOU/ECT)
Subject: 1 factor HJM for the propane project

Stinson,

Here is the 1 factor HJM model for curve simulation originally designed for
a Coal Plant valuation.

This techniques is useful for all kinds of curves, especially when we
do not have the quality data to estimate other factors. (situations where
only volatility curve is availiable).

Let me know if you have any questions.

Zimin