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PC London SPAN
PC London SPAN is a PC-based system, used to calculate margins for LIFFE and LME contracts using the London SPAN method. Version 4.0 includes the following enhancements:
Multi-Tier Inter-Commodity Spread Credits
This process adds a new approach to the existing inter-contract spread method and caters for the separate processing of index futures and options.Strategy Spread Charges
Where defined, strategy spreads will be processed prior to the inter-month spread charges, thereby reducing monthly deltas. Any residual delta will be processed in the multi-tier inter-month spread calculation.