Re: [Quantlib-dev] Chicago Mercantile Exchange SPAN

[asavoldi <sav...@gm...>]

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



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