Power PortCalc Executable.

Dear Errol,

Please try the latest version of Power PortCalc :

/prod/egs-home/ermt/bin/pwrcalc_slr.new

Thanks,

Norman.

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This is the last email for Power PortCalc release, you are on the distribution list for the next release.

Dear All,

A PortCalc Production Fix ( v 4.1.9.1 ) executable ( /prod/egs-home/ermt/bin/pwrcalc_slr.new ) has been released.

This executable is based on the last Production PortCalc. ( pwrcalc_slr : v4.1.9 08/20/2001).

Version 4.1.9.1 .

Changes Affecting All:

Asian Options - Fixed the issue that single-average-period Asian option did not get correct the liquidation value.

Asian Options - Fixed VATR table issue for Risk Trac.

Volatility Smile - Fixed the issue in volatility smile calculation for previous day, so that the prior day MtM matches the results from the Prior Effective Date calc.

Deals with the same desk ( in both Primary and Secondary counterparty) will not be evaluated, and PortCalc reports are not generated for those deals.

Changes Affecting East:

Added support for Simulation Trading Portfolio - this will evaluate deals like the East portfolio.

Changes Affecting Emission:

Added support for COAL Portfolio - this will evaluate deals like the East portfolio. This is for handling Power deals, not coal deals as the name implies.

Please test the executable, and let us know if you encounter any problems.

Thanks,

Norman.
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