---------------------- Forwarded by Zimin Lu/HOU/ECT on 06/15/2000 08:19 AM 
---------------------------


Natasha Danilochkina
06/15/2000 05:26 AM
To: David Gallagher/LON/ECT@ECT, Peter Crilly/LON/ECT@ECT, Richard 
Lewis/LON/ECT@ECT, Haakon Olafsson/LON/ECT@ECT, Tony Fricker/LON/ECT@ECT, 
Andrew Fairley/LON/ECT@ECT, Matthew Nicholas/LON/ECT@ECT, David 
Redmond/LON/ECT@ECT, Steven McCarthy/LON/ECT@ECT, Dale Surbey/LON/ECT@ECT, 
Matthew Nimmo/LON/ECT@ECT, Matthew Ferguson/LON/ECT@ECT
cc: Anjam Ahmad/LON/ECT@ECT, Zimin Lu/HOU/ECT@ECT, Steven 
Leppard/LON/ECT@ECT, Stinson Gibner/HOU/ECT@ECT 
Subject: Volumetric Optionality Model Changes

As a result of meetings with Zimin Lu (Houston Research) and Anjam Ahmad in 
early June, the gas desk together with research will be revising the models 
for pricing options on volume (swing) and similar products. 

The idea is to have a consistent method that can be applied to all contracts. 
This will affect:
 flat price gas swing options
 indexed gas swing options
 J-Block contract
 modified Thermbank contract
 EnBank (virtual storage)
 
The new feature that will be introduced into all models is ability for 
real-time MTM (and prospectively - sensitivities calculations).

The work will be carried out as follows:

Natasha Danilochkina: problem definition, contracts/products summary, 
functional specification
Anjam Ahmad:  Zimin's model modifications/implementation and Houston/London 
interaction

start date:  June 16th, 2000
end date: TBC