EOL WTI maket maker simulation model ,
 ---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 11/17/2000 
05:01 PM ---------------------------


Zimin Lu
11/17/2000 04:37 PM
To: Stinson Gibner/HOU/ECT@ECT
cc: Vince J Kaminski/HOU/ECT@ECT 
Subject: EOL WTI maket maker simulation model



Stinson,

I add the total P/L due to contract rollover.  When the number of trades is 
large
and the spread is not too small, the model prints a lot of money, dominated by
those trade earning the half of BO spread. 

I also wrote an explaination about the model on the front page. I think we 
are 
ready to deliever the model V.1.

The next step is to incorporate the intra-day market movement by using high 
and low
prices into the pricing.  I will call you on Monday.

Happy Thanksgivings !

Zimin
vkaminski@aol.com