|
|
Enron Mail |
Thanks for the explanation. Can you also get the actual interest rate used
for each group on terminated transactions (eg the financial trades, the power trades, the US gas trades and the Canadian gas trades). Thanks Tanya Rohauer/ENRON@enronXgate 04/16/2001 06:16 PM To: Elizabeth Sager/HOU/ECT@ECT, William S Bradford/ENRON@enronXgate cc: Subject: FW: LIBOR derivation Pushkar's methodology. Let me know if I can be of further help on this. -----Original Message----- From: Shahi, Pushkar Sent: Monday, April 16, 2001 5:57 PM To: Tanya Rohauer/HOU/ECT@ENRON Cc: Su, Ellen Subject: LIBOR derivation The libor curves are calculated using market data at the close of the day for swap instruments namely the libor cash rates (published on Telerate page 3750), eurodollar curve (prices published on Telerate 910) and the swap curve (prices published on Telerate 19901). The interpolated spot curve is calculated using a boot-strapping methodology. Discount rates can be calculated from these published zero rates by using the formula d(t) = 1 /(1+r/2)(2*t/365.25). ???Please call me if you have any further questions.??Pushkar Shahi?????---------------------- Forwarded by Pushkar Shahi/HOU/ECT on 04/16/2001 05:26 ?PM ---------------------------?From: Tanya Rohauer/ENRON@enronXgate on 04/16/2001 02:34 PM?To: Pushkar Shahi/HOU/ECT@ECT?cc: ?Subject: LIBOR derivation??Pushkar,??I am trying to finalize the values for our terminated transactions with ?Pacific Gas & Electric. One outstanding item is the present value ?methodology that we use. Since all of our calculations utilize your LIBOR ?curve, legal would like to document the methodology used to derive the ?curve. Would it be possible for you to write up a short explanation of how ?you derive the monthly forward curve for inclusion with the calculations that ?we submit to the bankruptcy court? Please give me a call if you would like ?to discuss in greater detail.??Thanks,?Tanya???
|