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Chicago Mercantile Exchange SPAN

Posted by Ferdinando M. Ametrano-3 on Mar 30, 2012; 2:23pm
URL: http://quantlib.414.s1.nabble.com/Chicago-Mercantile-Exchange-SPAN-tp9354.html

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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