Hopefully, this is an acceptable question in this forum, even if it isn't analytically focused.
As part of an effort to analyse the effect of different option trade structures on a portfolio, I need to determine the margin requirements for different trades. Normally I would just build the margin calculation for the specific strategy I am using. In this case, the system needs to be able to handle more complex and possibly non-traditional option trade structures.
I am looking for a programming library that could be given the appropriate trade information and produce the margin/cost requirements for the trade based on the CBOE Strategy-Based Margin Rules.