Louise,

I spoke to a few people today. I found that most of Research models have already been included in our migration plan. All models used by structuring groups and risk groups are already included. What I want to accomplish is to make sure we have the exhaustive list of models. The issue now is to get documentation for those models. I am not sure yet if the Exotica library has been included in the migration plan. I will keep you updated.

Thanks

Zhiyong

 -----Original Message-----
From: 	Kitchen, Louise  
Sent:	Tuesday, January 08, 2002 5:17 PM
To:	Wei, Zhiyong; Koehler, Anne C.
Cc:	Port, David
Subject:	RE: Research library needed for NETCO

Anne

We need these for Netco - is it too late?

 -----Original Message-----
From: 	Wei, Zhiyong  
Sent:	Tuesday, January 08, 2002 12:00 PM
To:	Kitchen, Louise; Koehler, Anne C.
Subject:	Research library needed for NETCO

Louise,

IT needs source code and documentation for all Exotica library functions. In addition, we need the Excel add-in build environment for building the exotica DLL and its help functionality. We need documentation for all models used by traders and risk managers. Naveen has a list of those models. My group can help maintain those models and the exotica library and provide IT expertise. I will help get a complete list of models used. Following is the list of Exotica functions.

Thanks

Zhiyong

List of Exotica library functions

Name	Description	
AGC	Asian Option pricing using geometric conditioning approximation	
AMER	American Option Valuation	
AMERB	American option valuation using the binomial tree model	
ASN	Asian option using a fast approximation	
ASNSPRD	Asian spread option	
ASNSPRD2	Spread option on asian spread	
ASTRIP	Asian option on a STRIP that allows correlation to be specified	
ASTRIP2m	Asian option on a two-asset average	
ASV	Asian option using a fast volatility approximation	
BASCORR	Determines the correlation between two baskets of assets	
BASVOL	Calculates approximate volatility for a basket of equities or commoditites	
BASVOLT	Calculates approximate volatility for a basket of equities or commoditites that expire at different times	
BASVOL2D	Calculates approximate volatility for a basket of two forward contracts	
BOST	BOST option (Pay at maturity European option)	
BRRR	Barrier option with risk parameters	
CMPDV	CMPDV option with two point volatility term structure	
COD	Cash on delivery option	
CODPREM	Cash on delivery option contingent PREMium	
COMBOPT	Combinations of European calls and puts: Strangles, strangles and bull Spreads	
DIGITAL	Digital "Cash or Nothing" option	
DSTRIP	Strip of daily options	
EIMPVOL	Implied Volatility of a European option using Black-Scholes formula	
EURO	Black-Scholes European option valuation	
EURO_Equity	Black-Scholes European option on stocks	
EURO_Forward	Balck Model for European option on forward/futures contract	
FOREXCH	Options on currencies	
IMPVOLAB	Implied Volatility of an American option using Binomial Tree model	
LKBK	LKBK option analytical solution for continuous case	
OSTRIP	Strip of daily fixed price (FP) or forward start (FS) options	
OSTRIPSPRD	Strip of daily fixed price spread options	
PPLUS	European spread option between two baskets, combination of analytical method with 1-D integration	
QUANTO	Options on commodity with exchange rate risk	
RBOW	RBOW options: various dual commodity options	
SPRDOPT	European spread option	
SWAPTION	Option to enter a swap	
XCAP	Value an option on a strip (call or put on a cap or floor)	
XCOL, XCOL2, XCOL3	Option on a collar. XCOL3 is the most flexible and updated version. It is the preferred function for pricing options of this kind	
YRSTRIP	Annual STRIP of daily European options subject to daily, monthly, and yearly take contraints