Re: implementation of smothing algorithm for forward forward

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Review for Tue.

---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 12/07/2000
03:57 PM ---------------------------

Tanya Tamarchenko
12/07/2000 03:54 PM
To: Wenyao Jia/HOU/ECT@ECT
cc: Rabi De/NA/Enron@ENRON, Jaesoo Lew/NA/Enron@ENRON, Naveen
Andrews/Corp/Enron@ENRON, Vince J Kaminski/HOU/ECT@ECT, Vladimir
Gorny/HOU/ECT@ECT
Subject: Re: implementation of smothing algorithm for forward forward
volatilities calculation

Winston,
I am sending you the documentation on the new methodology for creating ffvols
from implied vols. This methodology requires some minimization procedure
to fit the given vol curve with a smoothing function. I am sending you the
code I wrote that performs minimization with simulated annealing method from
Numerical Recipes.

We might need to discuss some details. Please, let me know if you have
questions.

Tanya.