[Quantlib-dev] Chicago Mercantile Exchange SPAN

[Ferdinando A. <na...@am...>]

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