Technical Specification

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 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.

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.

Risk Parameter File Description
April 2008
Paul Kirkwood

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

Technical Specifications
April 2008
Paul Kirkwood

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