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Technical Specifications
There are 6 files in this folder
General | |
| SPAN Version 4 Parameter File Format | |
| File | span 4 parameter file format.doc |
| Author: | Paul Kirkwood |
| Subject: | London SPAN version 4 |
| Comments: | This document describes the format of the version 4 SPAN risk parameter files for the LIFFE exchange. |
| Last Saved: | April 2008 |
| Size: | 1.29Mb |
| SPAN Version 4 TIP | |
| File | SPAN 4 TIP.doc |
| Author: | Paul Kirkwood |
| Subject: | London SPAN Version 4 |
| Comments: | This document describes how SPAN version 4 will be used to calculate portfolio risk for options and futures on the LIFFE exchanges. |
| Last Saved: | April 2008 |
| Size: | 226 Kb |
LME | |
| Specification for Calculation of Discount Factors and Discounted Variation Margin | |
| File | LME SPAN TIP Volume 2.doc |
| Author: | Paul Kirkwood |
| Subject: | LME SPAN |
| Comments: | This document describes the calculation of discount factors and discounted variation margin for the LME. |
| Last Saved: | April 2008 |
| Size: | 1.1Mb |
| Specification for Calculation of SPAN Risk Parameter Files | |
| File | LME SPAN TIP Volume 3.doc |
| Author: | Paul Kirkwood |
| Subject: | LME SPAN |
| Comments: | The purpose of this document is to define the exact method of calculation of SPAN risk parameter files for the LME. |
| Last Saved: | April 2008 |
| Size: | 1.7Mb |
| Risk Parameter File Description | |
| File | LME SPAN TIP Volume 4.doc |
| Author: | Paul Kirkwood |
| Subject: | LME SPAN |
| Comments: | This document describes the format of version 3 SPAN risk parameter files. |
| Last Saved: | April 2008 |
| Size: | 1.25Mb |
| Technical Specifications | |
| File | LME SPAN TIP Volume 1.doc |
| Author: | Paul Kirkwood |
| Subject: | LME SPAN |
| Comments: | These technical specifications explain how SPAN calculates portfolio risk for options and forward contracts. |
| Last Saved: | April 2008 |
| Size: | 1.21 Mb |