SOLUTIONS
Various solutions needed in each aspect of real-time trading and risk management.
01
Derivatives Portfolio Margin Calculator
Global Future Option Margin Calculation Solution
PRIMA
Derivatives Portfolio Margin Calculator
Global future option Portfolio Margin calculation module (Portfolio Risk Margin Analysis)
Calculation of the portfolio of future option portfolio margin on exchanges using the CME Group's SPAN margin system
Eurex Prisma Margin calculation
MARGIN COMPONENTS
Derivatives Portfolio Margin Calculator
Exchange Coverage
Derivatives Portfolio Margin Calculator
| No | Exchange Acronym | Exchange Description |
|---|---|---|
| 1 | ASXCLF | Australian Securities Exchange |
| 2 | BMD | Bursa Malaysia |
| 3 | CDC | Canadian Derivatives |
| 4 | CFE | Chicago Board Options Exchange(CBOE) |
| 5 | CME | Chicago Mercantile Exchange(CME, CBOT, NYMEX, COMEX) |
| 6 | Eurex | Eurex |
| 7 | HKEX | Hongkong Exchange |
| 8 | ICE | Intercontinental Exchange(ICE EU) |
| 9 | JCCH | Japan Commodity Clearing House |
| 10 | JSC | Osaka Exchange(OSE) |
| 11 | KEL | Budapest Stock Exchange(BSE) |
| 12 | LIFFE | ICE_EU Liffe |
| 13 | LIFFE.EQT | ICE_EU Liffe Eqt |
| 14 | LIFFE.LCP | ICE_EU Liffe Lcp |
| 15 | MONEPX | Euronext |
| 16 | MATIF | Marche a Teme Int’L de France |
| 17 | MGE | Minnepolis Grain Exchange |
| 18 | NFX | Nasdaq Futures Exchange |
| 19 | NYB | ICE_US(NYBOT) |
| 20 | NZX | New Zealand Stock Exchange |
| 21 | OCX | One Chicago |
| 22 | SGX | Singpore Exchange |
| 23 | TAIFEX | Taiwan Futures Exchange |
| 24 | TIF | Tokyo International Financial Future Exchange(TIFFE) |
| 25 | XIM | Option Clearing Corp.(OCC) |
FEATURES
Derivatives Portfolio Margin Calculator
- Able to install at Unix/Linux server
- Able to calculate the Real-time inter-commodity Spread margin deduction with high speed of margin calculation based on shared memory
- Total risk margin calculation to prevent the risk due to excessive Spread Portfolio margin deduction (Ask future+bit put option, bit future+bid call option)
- Margin calculation by Portfolio input and One-Library function call
- Margin by each combined commodity/currency
- Add new exchange by setting
- Response to parameter file change by setting change, no additional program modification required
- Automatic reflection to settlement price ledger
- Automatic reflection to future margin ledger
SHARED MEMORY SYNCHRONIZATION
Derivatives Portfolio Margin Calculator
ARCHITECTURES
Derivatives Portfolio Margin Calculator
REFERENCES
Derivatives Portfolio Margin Calculator
SPAN
SPAN & PRISMA
