FW: Ostrip Extension

Zimin:

The Gas Daily calcs. using the new OStrip model is taking about 45 mins. for Larry May's book -
Jeff Gossett and his risk admins. are requesting that we speed up the calcs.

From our tests, this is due to the 8 calls to the old model to calculate the Premium, Vega1,
Vega2, Charm and Delta, as opposed to the 1 call to the old model to calculate the Premium.

Could you please help us speed up the new OStrip model, or provide any suggestions as to what
we could do to speed it up?

Thank you,
Jeremy
x3-0573

-----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 <<