Margin calculations

General discussions about futures.
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Vince
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Margin calculations

Post by Vince » Wed Aug 27, 2003 9:22 am

Mornin all!

Does anyone know how the futures exchanges calculate margin requirement per contract? I know that they base it on volatility, but do you know if the calculation is entirely objective and something we can code or is it a case of exchange "finger in the air" mechanics?

Thanks in advance...

Vince

Howard Brazzil
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Post by Howard Brazzil » Wed Aug 27, 2003 11:27 am

Standard Portfolio Analysis of Risk ("SPAN") was developed by the Chicago Mercantile Exchange in
1988 for calculating customer margin requirements, and has become the futures industry standard.1,2
SPAN is CFTC approved, and is currently used by more than 30 exchanges and clearing
organizations worldwide. 3

Under the SPAN system each exchange is responsible for providing and maintaining “risk arraysâ€
Last edited by Howard Brazzil on Wed Aug 27, 2003 3:41 pm, edited 1 time in total.

Vince
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Post by Vince » Wed Aug 27, 2003 12:01 pm

Howard,

Thanks for your response. Before I start digging around, you wouldn't happen to know where I could get examples of code (any language but Basic would be good) for writing my own Span calculation modules, would you?

Can the calculations be derived, purely from historic price data? I am currently testing my system the Nasdaq100 OHLC price data for the past....X....years.

Vince

Howard Brazzil
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SPAN

Post by Howard Brazzil » Wed Aug 27, 2003 12:49 pm

Before I start digging around, you wouldn't happen to know
where I could get examples of code (any language but Basic would
be good) for writing my own Span calculation modules, would you?

Hi Vince,

I'm not aware of any code out in the public domain, but I haven't done a
thorough search.
Can the calculations be derived, purely from historic price data?
There is a lot about the process that is not completely clear to me, and I
suspect that there are certain proprietary elements involved. There's a
good description of the overall process, though, at:
http://www.cme.com/clr/rmspan/compont2480.html

You might want to start there. Ultimately, it may be necessary to contact
someone at the CME directly.

- Howard

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