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Enron Mail |
I can easily put in prices for the earlier months. My only worry is that it may affect EES since they have current Ontario positions that should not be valued against my curve (they should use regulated rates until market opening).
I can put the prices in today. Garrett -----Original Message----- From: Hayden, Frank Sent: Thursday, October 18, 2001 9:34 AM To: Tripp, Garrett Cc: Schmidt, Darin; White, Stacey W. Subject: R20 - Ontario Garrett, Recognizing that Ontario does not open until Mar 02, and recognizing that we have positions starting then, and recognizing that the curve doesn't have prices posted for reference dates prior to Mar 02, the value-at-risk engine is getting errors in it's simulations due to lack of prices thereof. Can you do either of the below? ? Post prices for dates up to Mar 02? (realize their isn't market?.tough issue) o If you post a price, I'm not sure it will mean much other than letting VAR run, primarily because there isn't position prior to Mar 02. Perhaps you can fill in hole with a realistic price so prompt month correlations don't go wacko?I guess.. Stacey help. ? Recommend a "like" curve to map R20 to so that we can get around zero price issues? Realize that mapping will include entire term structure and not just for the reference dates with zero price. ? Other ideas? I appreciate your help in working toward a solution. Thanks, Frank
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