SOLUTIONS
Various solutions needed in each aspect of real-time trading and risk management.
01
Derivatives Portfolio Margin Calculator
해외선물옵션 증거금계산 솔루션
PRIMA
Derivatives Portfolio Margin Calculator
해외선물옵션 Portfolio Margin 계산 모듈 (Portfolio Risk Margin Analysis)
CME Group의 SPAN 증거금 제도를 사용하고있는 거래소의 선물옵션 포트폴리오 증거금 (Protfolio Margin)계산
Eurex Prisma 증거금 계산
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
- Unix/Linux서버에 설치 가능
- Shared Memory 기반으로 초고속 증거금 계산속도로 실시간 상품간 Spread 증거금감면액 계산 가능
- 과도한 Spread Portfolio의 증거금 감면에 따른 risk 방지를 위한 총위험증거금 계산 (매수선물+매도풋옵션, 매도선물+매도콜옵션)
- Portfolio 입력에 의한 One-Library 함수 호출에 의한 증거금 계산
- Combined Commodity 별 증거금 / 통화별 증거금
- 설정에 의한 신규 거래소 추가
- 설정변경에 의한 Parameter File 변경 대응. 별도의 프로그램 수정이 필요 없음
- 정산가 원장에 자동 반영
- 선물증거금 원장에 자동 반영
SHARED MEMORY SYNCHRONIZATION
Derivatives Portfolio Margin Calculator
ARCHITECTURES
Derivatives Portfolio Margin Calculator
REFERENCES
Derivatives Portfolio Margin Calculator
SPAN
SPAN & PRISMA
