Code for approximating SPAN futures options margin?

Discussion in 'Programming' started by comintel, Apr 9, 2012.

  1. Does anyone know of open-source code to calculate approximate SPAN futures options margins?

    I want to incorporate this into my back-testing code.

    I have found enough explanations of how SPAN works to write it myself if necessary but am checking first if there is other code out there.

    It needs to be able to operate in the past for back-testing.
  2. byteme


  3. Yes I am going to code it and wanted to double check first.

    However I am going to do a very very rough implementation at first.

    I will try to post an outline of the code when finished if it looks of value.

    I already understand the principles.

    Here is the best outline I found:
  4. byteme


    That looks pretty comprehensive. To be honest, it should be relatively straight forward - just never got around to doing it myself.

    You used to be able to download historical risk array files from the CME or somewhere but haven't looked in a number of years so don't know if they are still available.
  5. byteme