Any examples on Initial Margin calculation?


#1

Hi there,

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.


#2

Hi there,

The OpenGamma platform for margining is designed as a multi-CCP margin calculation solution, concentrated on support for the OTC products across Rates and Credit. Where applicable we also provide support for cross-margining such as futures cross-margining for CME. We are not currently supporting the SPAN based margining methodology. We are typically seeing a move away from this to VaR based methods. We support a range of wrappers for calculation libraries provided by the major CCPs, API pass-through, and our own independent replications.

Thank you


#3

See the main website for more details of the Margining product. Note that since margining is a commercial product built on the open source platform, the code and documentation for margining is not publicly available. Please contact sales for more information.