Code for approximating SPAN futures options margin?

C

comintel

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.
 
Quote from byteme:

I don't think the situation has changed since the last time the exact same question was asked a few months back.

But please post here if you find anything. Good luck.
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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:

http://www.cftc.gov/files/tm/tmspan_margining043001.pdf
 
Quote from comintel:

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:

http://www.cftc.gov/files/tm/tmspan_margining043001.pdf
More...

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.
 
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