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Enron Mail |
Anne
We need these for Netco - is it too late? -----Original Message----- From: Wei, Zhiyong Sent: Tuesday, January 08, 2002 12:00 PM To: Kitchen, Louise; Koehler, Anne C. Subject: Research library needed for NETCO Louise, IT needs source code and documentation for all Exotica library functions. In addition, we need the Excel add-in build environment for building the exotica DLL and its help functionality. We need documentation for all models used by traders and risk managers. Naveen has a list of those models. My group can help maintain those models and the exotica library and provide IT expertise. I will help get a complete list of models used. Following is the list of Exotica functions. Thanks Zhiyong List of Exotica library functions Name Description AGC Asian Option pricing using geometric conditioning approximation AMER American Option Valuation AMERB American option valuation using the binomial tree model ASN Asian option using a fast approximation ASNSPRD Asian spread option ASNSPRD2 Spread option on asian spread ASTRIP Asian option on a STRIP that allows correlation to be specified ASTRIP2m Asian option on a two-asset average ASV Asian option using a fast volatility approximation BASCORR Determines the correlation between two baskets of assets BASVOL Calculates approximate volatility for a basket of equities or commoditites BASVOLT Calculates approximate volatility for a basket of equities or commoditites that expire at different times BASVOL2D Calculates approximate volatility for a basket of two forward contracts BOST BOST option (Pay at maturity European option) BRRR Barrier option with risk parameters CMPDV CMPDV option with two point volatility term structure COD Cash on delivery option CODPREM Cash on delivery option contingent PREMium COMBOPT Combinations of European calls and puts: Strangles, strangles and bull Spreads DIGITAL Digital "Cash or Nothing" option DSTRIP Strip of daily options EIMPVOL Implied Volatility of a European option using Black-Scholes formula EURO Black-Scholes European option valuation EURO_Equity Black-Scholes European option on stocks EURO_Forward Balck Model for European option on forward/futures contract FOREXCH Options on currencies IMPVOLAB Implied Volatility of an American option using Binomial Tree model LKBK LKBK option analytical solution for continuous case OSTRIP Strip of daily fixed price (FP) or forward start (FS) options OSTRIPSPRD Strip of daily fixed price spread options PPLUS European spread option between two baskets, combination of analytical method with 1-D integration QUANTO Options on commodity with exchange rate risk RBOW RBOW options: various dual commodity options SPRDOPT European spread option SWAPTION Option to enter a swap XCAP Value an option on a strip (call or put on a cap or floor) XCOL, XCOL2, XCOL3 Option on a collar. XCOL3 is the most flexible and updated version. It is the preferred function for pricing options of this kind YRSTRIP Annual STRIP of daily European options subject to daily, monthly, and yearly take contraints
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