Re: Chicago Mercantile Exchange SPAN

Posted by asavoldi on Dec 03, 2013; 1:56pm
URL: http://quantlib.414.s1.nabble.com/Chicago-Mercantile-Exchange-SPAN-tp9354p14690.html

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