FW: Ostrip Extension

The Gas Daily "Y" calc. is slow because of the new Ostrip2 model from Research that Larry requested.

George Huan and Luchas Johnson were informed at the time we tested the new model, and agreed to
have it migrated to production because Larry wanted it as soon as possible. We asked Zimin for help
in speeding the model up, but have not heard from him.

I will contact Zimin again for help in speeding up the Ostrip2 model.

-----Original Message-----
From: Wong, Jeremy
Sent: Thursday, June 14, 2001 7:45 PM
To: Lu, Zimin
Cc: Lim, Francis S.; Wei, Zhiyong
Subject: RE: Ostrip Extension

Zimin:

We have migrated your extension to the Ostrip model for Larry, with the Vega1 and Vega2 additions,
to the production PortCalc.

However, the Ostrip2 model is a lot slower than the Ostrip model, due to the 4 additional calls to the
Ostrip model from the Ostrip2 model, to calculate Vega1 and Vega2.

Is there a way to speed up the Ostrip2 model? We released it because Larry wanted it as soon as possible,
but we would appreciate it if you have any suggestions as to how we can speed up the calc.

Thank you,
Jeremy
x3-0573

-----Original Message-----
From: Wei, Zhiyong
Sent: Tuesday, February 13, 2001 6:53 PM
To: Wong, Jeremy
Subject: FW: Ostrip Extension

Jeremy,

Please check out the changes to OSTRIP.

Thanks

Zhiyong

-----Original Message-----
From: Lu, Zimin
Sent: Tuesday, February 13, 2001 4:05 PM
To: May, Larry; Zhiyong Wei/HOU/ECT@ENRON
Cc: Gibner, Stinson
Subject: Ostrip Extension

Larry and Zhiyong,

I have finished the extension to Ostrip model.

Ostrip2 adds

Vega1 -- Vega to the fwd volatility risk parameter=7
Vega2 -- Vega to the Gas Daily volatility 8
Charm 9

I kept the original Vega (3) unchanged.

Please see the codes and Excel add-in and Ostrip2_test.xls.
Call me if you have any questions.

Zimin
<< File: OStrip2_test.xls << << File: Exotica.xll << << File: Fsteurosp.c << << File: Ostrip2.c <<