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Enron Mail |
Frank,
I don't think the issue is how the books are calced/officialized on those days. Here why. The same calc is used the day before and for the rest of the following month. The physical calc is simply copied each day. On Jan. 31, extending the expert clause to include Feb is the only change made. Once Feb rolles to intramonth the "From date" on the calc is changed from the Jan 1 to Feb 1. Since January has already rolled off this should have no effect on the positions. Also, the positions for prompt month were correctly captured by Risktrac, which leads me to believe that problem is with the VAR calc not the post ids. Let me know if this doesn't answer your question. Robin Enron North America Corp. From: Frank Hayden @ ENRON 02/07/2001 07:31 AM To: Wei Hu/HOU/ECT@ECT cc: Bharat Khanna/NA/Enron@Enron, Nilay Basu/HOU/ECT@ECT, Robin Rodrigue/HOU/ECT@ECT Subject: Re: INTRA-WEST-PH1 Wei, I appreciate your help. If I hear you right, it appears it may have to do with the way post id's and books are officialized. Thanks for your help. Robin, For whatever reason, we didn't pick up VaR for Feb intra-month on Jan 31, and on Feb 1, a lot of intra month hit. I've been investigating, with Bharat, and RAC initially thought it had something to do with the code and that GRMS didn't roll in physical until the first of the month (I guess). Now it seems like it may have something to do with the way Post id's/books are officialized. (I guess). Please give this a looksy and let me know. Nilay, Thanks for your help, any ideas on why would be helpful. Let me/Bharat know if we should bring ERMS into the picture. Thanks, Frank From: Wei Hu @ ECT 02/06/2001 04:24 PM To: Bharat Khanna/NA/Enron@Enron cc: Frank Hayden/Corp/Enron@Enron, Nilay Basu/HOU/ECT@ECT Subject: INTRA-WEST-PH1 Bharat, First I checked VaR number for this portfolio_id since 26-JAN-01. Notice there was consecutive VaR jump from 26-JAN-01 to 1-FEB-01. PORTFOLIO_ID EFF_DT DOWN95 UP95 --------------- --------- ---------- ---------- INTRA-WEST-PH1 26-JAN-01 -534098.14 468809.11 INTRA-WEST-PH1 29-JAN-01 -2472601.4 2351240.92 INTRA-WEST-PH1 30-JAN-01 -4860067.9 4509638.58 INTRA-WEST-PH1 31-JAN-01 -5771829.8 5412690.81 INTRA-WEST-PH1 01-FEB-01 -6776703 6805456.84 INTRA-WEST-PH1 02-FEB-01 -6328870.8 6454349.9 INTRA-WEST-PH1 05-FEB-01 -5535044.3 5546160.24 Then I checked sum of delta_position and gamma for book_id INTRA-WEST-PHY on those dates. Since I notice that VaR had a big jump from 26-JAN-01 to 29-JAN-01, so I also group by reference data on those two dates. 1 select ref_dt, strip_flag, sum(delta_position), sum(gamma) 2 from rms_open_position 3 where eff_dt = '&1' 4 and book_id = 'INTRA-WEST-PHY' 5 and nvl(strip_flag, 0) <= 0 6 group by ref_dt, strip_flag 7* having (sum(delta_position) < 0 or sum(gamma) < 0) Effective_dt 26-jan-01 REF_DT STRIP_FLAG SUM(DELTA_POSITION) SUM(GAMMA) --------- ---------- ------------------- ---------- 30-JAN-01 3 152041.923 0 31-JAN-01 3 161992.376 0 Effective_dt 29-jan-01 REF_DT STRIP_FLAG SUM(DELTA_POSITION) SUM(GAMMA) --------- ---------- ------------------- ---------- 31-JAN-01 3 153524.414 0 01-FEB-01 3 156324.294 0 02-FEB-01 3 156324.294 0 03-FEB-01 3 156324.294 0 04-FEB-01 3 156324.294 0 05-FEB-01 3 156324.294 0 06-FEB-01 3 156324.294 0 07-FEB-01 3 156324.294 0 08-FEB-01 3 156324.294 0 09-FEB-01 3 156324.294 0 10-FEB-01 3 156324.294 0 REF_DT STRIP_FLAG SUM(DELTA_POSITION) SUM(GAMMA) --------- ---------- ------------------- ---------- 11-FEB-01 3 156324.294 0 12-FEB-01 3 156324.294 0 13-FEB-01 3 156324.294 0 14-FEB-01 3 156324.294 0 15-FEB-01 3 156324.294 0 16-FEB-01 3 156324.294 0 17-FEB-01 3 156324.294 0 18-FEB-01 3 156324.294 0 19-FEB-01 3 156324.294 0 20-FEB-01 3 156324.294 0 21-FEB-01 3 156324.294 0 REF_DT STRIP_FLAG SUM(DELTA_POSITION) SUM(GAMMA) --------- ---------- ------------------- ---------- 22-FEB-01 3 156324.294 0 23-FEB-01 3 156324.294 0 24-FEB-01 3 156324.294 0 25-FEB-01 3 156324.294 0 26-FEB-01 3 156324.294 0 27-FEB-01 3 156324.294 0 28-FEB-01 3 156324.294 0 The following is the list of sum of delta position on those dates without group by reference_dt: EFFECTIVE_DT STRIP_FLAG SUM(DELTA_POSITION) SUM(GAMMA) ------------ ---------- ------------------- ---------- 26-JAN-01 3 314034.299 0 (Reference date 30-JAN-01 to 31-JAN-01) 29-JAN-01 3 4530604.63 0 (Reference date 31-JAN-01 to 28-FEB-01) 30-JAN-01 3 8901557.37 0 (Reference date 01-FEB-01 to 28-FEB-01) 31-JAN-01 3 9539555.15 0 (Reference date 02-FEB-01 to 28-FEB-01) 01-FEB-01 3 8782018.97 0 (Reference date 01-FEB-01 to 28-FEB-01) 02-FEB-01 3 7889069.32 0 (Reference date 06-FEB-01 to 28-FEB-01) 05-FEB-01 3 7597454.74 0 (Reference date 07-FEB-01 to 28-FEB-01) It looks to me the trend on VaR change is very similar to the trend on delta position change. If you want to know why delta position went higher from 26-JAN-01 to 01-FEB-01, we need to get ERMS people involved. RisktRAC basically just pulls position from ERMS. Thanks, Wei
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