Krishna,

I modified the file you sent to me (see attached). For OPT TYPE, what is the code for a Call? for a Put?

How does this modified model look? The data is monthly prices. I changed the formula for Vol. Did I get it right?

Paul

 

 -----Original Message-----
From: 	Krishnarao, Pinnamaneni  
Sent:	Wednesday, October 17, 2001 5:41 PM
To:	Y'Barbo, Paul
Subject:	RE: Spread Data

Probably yes. Paulo Issler in our Research group maintains the exotica files, contact him for details on those files. exotica1 is probably a backup file.
Krishna.

 -----Original Message-----
From: 	Y'Barbo, Paul  
Sent:	Wednesday, October 17, 2001 5:21 PM
To:	Krishnarao, Pinnamaneni
Subject:	RE: Spread Data

Krishna,

Do you mean the /Research/Exotica/xll directory? Is the exotica1.xll addin the same as the exotica.xll addin?

Paul

 -----Original Message-----
From: 	Krishnarao, Pinnamaneni  
Sent:	Wednesday, October 17, 2001 2:50 PM
To:	Y'Barbo, Paul
Subject:	RE: Spread Data

Here is what we had done for Kim before. In the PGE_Permian.xls file, the option values are in cells starting M30. In Excel, you need to load the exotica.xll addin which is in /Research/Exotica directory on your common drive. Load the addin and say NO to "copy to your local drive?" Also, see the "Results" sheet for volatility and correlation calculations.

Krishna.
 << File: PGE_PERMIAN.xls >>  << File: SOCAL_PERMIAN.xls >> 

 -----Original Message-----
From: 	Y'Barbo, Paul  
Sent:	Wednesday, October 17, 2001 2:32 PM
To:	Krishnarao, Pinnamaneni
Subject:	Spread Data


Krishna,

Please see attached data on the pages named "MO IND DATA" and "Basis Forwards". I am interested in understanding the math associated with valuing calls and puts on the spread between the index points. Also, do you have an option pricing model that I could have? My office number is 5-4173.

Thanks,

Paul

P.S. Do you recall the work that you did for Kim Watson in the past?

 << File: NAT GAS Prices GRAPH.xls >>