London SPAN Parameter Files
Risk parameter files are required to calculate London SPAN initial margins. They contain details of all the London SPAN parameters as well as the theoretical profits and losses for each of the SPAN scenarios. Risk parameter files are required if calculating initial margin using PC London SPAN. They can also be loaded into other systems used to calculate London SPAN initial margin.
Due to the size of the Risk Parameter file, a compressed (Pkzip) format is available for the LSE Derivatives Market exchange in addition the standard uncompressed version. The EnClear file is smaller and only available as a standard format.
Email our Web Administrator with suggestions or comments or call the Help Desk on 020 7426 7200
PC London SPAN is a PC-based system, used to calculate margins for LME contracts using the London SPAN method. Version 4.0 includes the following enhancements:
Multi-Tier Inter-Commodity Spread Credits
This process adds a new approach to the existing inter-contract spread method and caters for the separate processing of index futures and options.
Strategy Spread Charges
Where defined, strategy spreads will be processed prior to the inter-month spread charges, thereby reducing monthly deltas. Any residual delta will be processed in the multi-tier inter-month spread calculation.
PC London SPAN Version 4.0 is supported on Windows 2000 and Windows XP.
For Windows 7 system, please also install Microsoft patch from this link.
Members will need to install the patch so that PCSpan will work on Operating systems newer than XP.
How to install PC London SPAN Version 4.0
Follow the instructions below to install PC London Span Version 4.0 onto your PC:
Download PC London SPAN 4.0 zip file to your desktop and extract the file.
From the File Download dialog box, choose "Save this program to disk".
Choose a directory on your PC to store the exe file.
Open Windows Explorer.
Follow the on-screen instructions.
Once installed, further help is available within the application by selecting the Help icon.
If you encounter any problems with the installation of PC London SPAN, please contact the LCH Helpdesk on +44 (0)20 7426 7200.
If you have any enquiries on the use of PC London SPAN, please contact the LCH Risk Management Department on +44 (0)20 7426 7000.