text_combined: fw fea announces release energy 2 1 chris fea released new version energy 2 1 could update new version hopefully take much time always value work appreciate help zimin original message kaminski vince j sent tuesday may 15 2001 8 37 lu zimin subject fw fea announces release energy 2 1 original message erin hopkins enron mailto imceanotes 22 erin 20 hopkins 22 20 3 cerin 40 fea 2 ecom 3 e 40 enron enron com sent monday may 14 2001 5 47 pm kaminski vince j subject fea announces release energy 2 1 05 14 2001 enron north america corp vince kaminski 1400 smith street 30 th floor rm 3036 b houston tx 77251 1188 1 713 853 3848 dear vince kaminski inform release energy 2 1 ftp download instructions available immediately download instructions included end email please see information regarding new release fea pleased enclose new version energy erglib accompanying documentation contains installation information overview new changed features since version 2 0 energy forward curve change energy basics control variate methodology hull 1997 implemented valuation american options opt black mean reverting models greatly improves accuracy minimal cost speed models supports new scalar risk measures corresponding parallel displacement delta hedge gamma average price strike options support alternative way computing theta definition gamma curves modified models energy advanced faster accurate methodology used value spread options models affected spreadopt stripspreadopt optspreadopt optstripspreadopt new methodology dramatically improves speed models supports new scalar risk measures corresponding parallel displacement delta hedge gamma average price strike options support alternative way computing theta definition gamma curves modified models energy swing definition gamma curves modified models energy weather change see file fea energy ergnote txt distribution list bug fixes overview new changed features since version 1 6 energy forward curve jump parameters calibrated use energy functions inputs outputs powercalib comcalib changed see corresponding function syntax user guide additional information 35 40 speed improvement module beta energy basics different interpolation schemes forward prices supported use indexswap exoticswap optindexswap floating price linked series futures dates futures dates need close dates specified forward curve input new utility function pathutil allows simulate visualize price paths consistent models supported energy 25 30 speed improvement energy advanced different interpolation schemes forward prices supported use optdiffswap diffswap floating price linked series futures dates futures dates need close dates specified forward curve input calspreadopt allows specification two different mean reversion rates 30 35 speed improvement energy swing swingopt stripswingopt allow valuation swing straddle contracts overall load constraints 65 70 speed improvement module beta energy weather 30 35 speed improvement see file fea energy ergnote txt distribution list bug fixes user erglib library please aware possible backward compatibility issues calls eapo easo espreadapo espreadaso ecrackapo see fea energy ergnote txt additional details overview new changed features since version 1 5 energy basics european options strips european options support valuation via jump diffusion model see opt stripopt functions average price options see apo spreadapo crackapo functions average strike options see aso spreadaso functions allow direct input fixing dates energy advanced includes two new functions optstripopt optstripspreadopt valuation complex compound options user erglib library please aware backward compatibility issues calls eapo easo espreadapo espreadaso ecrackapo see fea energy ergnote txt additional details overview new changed features since version 1 4 energy forward curve energy forward curve new module includes functions designed generate forward curves volatility curves mean reversion rates used many energy functions module beta release energy basics apo aso bug fixed avg _ starts prompt type quit file downloaded directory entered ftp site double click exe follow instructions screen also readme file contains installation instructions may wish print easy reference n b password valid first friday next month questions please feel free contact us appreciate opportunity continuing service enron north america corp regards erin hopkins administrative assistant financial engineering associtates inc tel 1 510 548 6200 mailto info fea com mailto support fea com