releasing different versions vatrfacs code winston jin last half year following developments implemented jin vatrfacs code calibration code var 1 weighting log returns exponential decay factor calculating correlations 2 calculating factors correlations uk curves 3 joint estimation factor loading selected groups commodities 4 alternative method collecting historical data correlations calculation based fixed contract instead collecting prompt prompt 1 etc prices order release developments research version clearcase 1 run vatrfacs code stage environment stage refreshed recently 2 run var code stage validate results time start releasing 4 versions projects 3 4 require experimental runs stage traders gas power liquids markets expecting results meanwhile following developments suggested reseach approved risk control submitted spreadsheet prototypes waiting line 1 volatility blending intramonth power positions 2 forward volatility smoothing extracting forward forward volatilities hope follow procedures make developments go smoothly efficiently tanya