SPAN-like source code

[Random.Capital]

Was curious if there was an existing body of code (FOSS or otherwise) that showed an implementation of SPAN-like portfolio risk/margin checks. Or at least a meaningful subset, thereof.

 

[byteme]

Quote from Random.Capital:

Was curious if there was an existing body of code (FOSS or otherwise) that showed an implementation of SPAN-like portfolio risk/margin checks. Or at least a meaningful subset, thereof.

Not that I know of. Last time I checked PC-SPAN had it all locked up.

This might help though:


http://www.asx.com.au/clearing/span-margining.htm

 

[Random.Capital]

That's excellent, thank you!