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Enron Mail |
---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 11/20/2000
11:20 AM --------------------------- Zimin Lu 11/17/2000 04:37 PM To: Stinson Gibner/HOU/ECT@ECT cc: Vince J Kaminski/HOU/ECT@ECT Subject: EOL WTI maket maker simulation model Stinson, I add the total P/L due to contract rollover. When the number of trades is large and the spread is not too small, the model prints a lot of money, dominated by those trade earning the half of BO spread. I also wrote an explaination about the model on the front page. I think we are ready to deliever the model V.1. The next step is to incorporate the intra-day market movement by using high and low prices into the pricing. I will call you on Monday. Happy Thanksgivings ! Zimin
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