Technical Documents

General 

SPAN Version 4 Parameter File Format
April 2008
Paul Kirkwood

This document describes the format of the version 4 SPAN risk parameter files for the LIFFE exchange.

SPAN Version 4 Parameter File Format
 

SPAN Version 4 TIP
April 2008
Paul Kirkwood

This document describes how SPAN version 4 will be used to calculate portfolio risk for options and futures on the LIFFE exchanges.

SPAN Version 4 TIP

 

London SPAN Technical Documents

LME

Specification for Calculation of Discount Factors and Discounted Variation Margin
April 2008
Paul Kirkwood

 

This document describes the calculation of discount factors and discounted variation margin for the LME.

Specification for Calculation of Discount Factors and Discounted Variation Margin


 

Specification for Calculation of SPAN Risk Parameter Files
April 2008
Paul Kirkwood

The purpose of this document is to define the exact method of calculation of SPAN risk parameter files for the LME.

Specification for Calculation of SPAN Risk Parameter Files

Risk Parameter File Description
April 2008

Paul Kirkwood

This document describes the format of version 3 SPAN risk parameter files.

Risk Parameter File Description

Technical Specifications
April 2008
Paul Kirkwood

These technical specifications explain how SPAN calculates portfolio risk for options and forward contracts.

Technical Specifications