Chicago Mercantile Exchange SPAN

[Ferdinando M. Ametrano-3]

Hi all

is there anyone who can help to implement the CME SPAN algorithm?

http://www.cmegroup.com/clearing/risk-management/span-overview.html

Even just pointing to tech references that could speed up a quick implementation would be appreciated.

Feel free to contact me off-list if preferred

thank you in advance

ciao -- Nando

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[asavoldi]

Hi Nando,

I've been able to analyze CME SPAN methodology for CME, Nymex, Comex, CBOT markets. Initial margins, for plenty of test portfolios, have been compared against PC-SPAN software, the official software which implements the CME Group SPAN methodology. What do you need about SPAN methodology (General picture, intra-inter risk class calculation, super-spread calculation (e.g. for Nymex market), etc.)? if you wish we might discuss over this topic, also off-list if you wish.

Regards,
Antonio