---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 05/02/2001 03:10 PM ---------------------------


Zimin Lu
05/02/2001 01:41 PM
To:	Paulo Issler/HOU/ECT@ECT
cc:	 (bcc: Vince J Kaminski/HOU/ECT)
Subject:	Re: Asian Option for Pavel   


Our convention is whoever finalizes the model should write the documentation.  It does not make sense
to write one when changes are anticipated.  You have been working on this almost a year, it never 
strikes you that we need a documentation ? 

I created Exotica.xll, does that also give you an excuse not working on Exotica documentation ?   

Zimin 





Paulo Issler
05/02/2001 11:52 AM
To:	Zimin Lu/HOU/ECT@ECT
cc:	Tai Woo/ENRON@enronXgate @ ENRON, Pavel Zadorozhny/Enron@EnronXGate 
Subject:	Re: Asian Option for Pavel   

I am surprised that we do not have the documentation ready.
I can make that for you. It is not there because you did not put that together by the time it was created and all the changes I have made did not required changes on the functionality.
Paulo Issler
 



Zimin Lu
05/02/2001 11:29 AM
To:	Tai Woo/ENRON@enronXgate @ ENRON, Paulo Issler/HOU/ECT@ECT
cc:	Pavel Zadorozhny/Enron@EnronXGate 
Subject:	Re: Asian Option for Pavel   



Tai Woo,

Here are the c-codes for the CrudeAPO.  'Sig' is the spot
volatility meaning the price volatility within the delivery period. 
You should consult  with Pavel for the definition of this "extra" parameters.   We 
would like to see the Position Monitor once you get it running.
We might have some additional suggestions.




Paulo,

Why don't we have a documentation on CrudeAPO you worked on ?
I can not find it in Exotica help file.   Please supply that to Tai, thanks.



--------------------------------------


     





From:	Tai Woo/ENRON@enronXgate on 05/02/2001 09:55 AM
To:	Paulo Issler/HOU/ECT@ECT
cc:	Kara Maloney/ENRON@enronXgate, Zimin Lu/HOU/ECT@ECT 
Subject:	Asian Option for Pavel

This morning, Zimin told me that Pavel is using a special model in evaluating his Asian option portfolio. 
He asked me to talk to you in order to access to the code so that I can see the difference made to the model.

As I cannot find the doc. describing this model, please tell me what that new input parameter 'Sig' is.

Thanks,














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