PC London SPAN

PC London SPAN is a PC-based system, used to calculate margins for LIFFE and LME contracts using the London SPAN method. Version 4.0 includes the following enhancements:

1. Multi-Tier Inter-Commodity Spread Credits
   This process adds a new approach to the existing inter-contract spread method and caters for the separate processing of index futures and options.

2. Strategy Spread Charges
   Where defined, strategy spreads will be processed prior to the inter-month spread charges, thereby reducing monthly deltas. Any residual delta will be processed in the multi-tier inter-month spread calculation.

PC London SPAN User Guide