Just came across this news from 2013 “OPENGAMMA INTRODUCES MARGINING SOLUTION FOR CLEARING MEMBERS TO REPLICATE CLEARING HOUSE MARGIN CALCULATIONS”
Sounds impressive. But where are examples on how to actually set OG up to calculate IM using CME SPAN algo?
Would appreciate any links to example, docs, manuals anything really to help me out.
Task trying to solve: I Have a requirement to create an app to help traders manage initial margin intraday. We are hedge fund trading commodities derivatives through ICE, CME, SGX, NGX.