RE: Var simulation

Andy,
We'll get cranking. Let you know,
Naveen

-----Original Message-----
From: Zipper, Andy
Sent: Tuesday, January 29, 2002 2:24 PM
To: Andrews, Naveen
Subject: Var simulation

Naveen,

I would like to see what VaR is thrown off by a series of trades. Can you run the following strategies throught he Var model and let me know what the results are.

1). 500,000 mmbtu of a Mar NYMEX straddle. Srike: 2.05, vol:70%

2). 500,000 mmbtu per month of an Apr02/Oct02 NYMEX straddle, Strike: 2.30 vol: 48%

3).500,000 mmbtu per mo0nth of a Nov02/Mar03 NYMEX straddle, Strike: 2.85, vol: 46%

4). 500,000 mmbtu of a Mar NYMEX swap

5) 500,000 mmbtu of a Apr/Oct02 NYMEX swap

6). 5,000 mmbtu/d of a cal03 NYMEX swap

7). Same for Nov02/Mar03

8). Short 500,000mmbtu Mar02 vs. long 80,000 mmbtu per month of Apr/Oct02

9). short 500,000 mmbtu of Feb Gas Daily swap and long 500,000 mmbtu Mar Nymex swap

10).short 500,000mmbtu of Feb gas daily straddle, and long 500,000 mmbtu of Mar NYMEX Straddle

If any of the foward prices or vols in the system differ from what I have given you use what is in the system. I would also be interested in what the UBS model spits out for these if available.

Any questions give me a call.

Thanks,
Andy