text_combined: enpower heads long winded email please see highlighted paragraphs find hard believe scenario portrayed stranger things happened keep posted forwarded fernley dyson lon ect 29 11 2000 08 44 james new 28 11 2000 13 42 ted murphy hou ect ect david port market risk corp enron enron cc mike jordan lon ect ect coralie evans lon ect ect fernley dyson lon ect ect subject status update issues surrounding continental power volatilities correlations know time trying get continental power traders increase volatilities use valuing option portfolio use calculating var obvious market become volatile reflected mark looking impacts various issues came light firstly raised issues correlation matrix used var model way date worked jitendra put matrix traders risk rac happy secondly may aware portcalc swaptions currently use volatility input deal ticket volatility curve current portfolio 90 swaptions represents serious issue us practical manually change volatilities deal ticket level every time implied voaltilities change use option functionality values hourly daily exercise options fixed expiry swaptions options also found way portcalc valuing asian options force houston based portcalc team work new piece swaption valuation code currently contains number worrying bugs primarily proposed code take correct underlying forward price uses volatility approximating last day underlying rather implied volatility underlying currently hampered personnel sufficient option knowledge understand two experienced coders resigned go another houston based energy company extremely worrying find hard believe whole enron power business use methodology inputting volatility deal ticket level almost certainly mean different volatilities used var used value swaption portfolio globally well issues concerns use accuracy smile adjustment portcalc worryingly seem switch briefly seems portcalc calculates delta used adjust volatility comparing strike price forward price last day underlying rather forward price underlying engaged london based looking code used power 99 se way get something done quickly start value option products curve able book asian options get resolved still way extracting vega gamma risk portcalc current state information told system seems 100 sure given errors produce vega gamma p l number risk remains mystery worrying power option traders world get underlying vega gamma risk position global valuation system trying work something manual draw line sand would really like know american based traders cope problem knowingly years sign offs gained implementation enpower seems us using current system possible comply global risk policy validate inputs valuation know risk despite persuaded traders save newer higher volatilities week ago seen large move var however stands moment notable save daily remark jitendra saying happy model vol curve generator today asked full explanation details testing etc etc time lines move getting hurdle swaptions also yet ticket volatility changed impacts expected positive long volatility would appreciate comments seems pushing boundaries areas really expect already covered houston time ago could help use system seems us numerous bugs short comings spend enormous amount time overcoming inadequacies enpower wich think people aware consequently able deliver improvements required gaining increased limits 3 months ago would hope agree lack trying sorry long questions perceived inaccuracies please let know james