Re: PortCalc methodology ,
 Keith,

Both power and EMRS use a C library provided (also implemented) by research 
group. The methodology of greek calculations in power portcalc has not 
changed for more than 6 years since I joined Enron 6 years ago. Vince 
Kaminski, Stinson Gibner or Grant Masson should be able to help you with both 
questions.

Zhiyong




Keith Bowie
06/28/2000 04:22 AM
To: Zhiyong Wei/HOU/ECT@ECT
cc: Brian Hudson/LON/ECT@ECT 
Subject: PortCalc methodology


Zi

I've been asked by Risk Management:
a)  who in research originally signed off the PortCalc formulae
b) for a copy of the documentation of the methodology (greek calculations, 
etc.)

Hope you can help on both counts.

Thanks

Keith
keith.bowie@enron.com