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.

CBOE Margin Manual

I could work with a library written in R, MATLAB, .NET, Java, Javascript or C++. A .NET library would be ideal but I could work with almost anything, especially if it was open source.

  • $\begingroup$ Ok, getting little response. As a side question is anyone interested in collaborating on one? $\endgroup$ – drobertson Oct 18 '16 at 18:47
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    $\begingroup$ Does the Margin calculator at the same CBOE site do what you need? $\endgroup$ – GodLovesATrier Oct 19 '16 at 11:32
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    $\begingroup$ Also an abandoned project at GitHub $\endgroup$ – GodLovesATrier Oct 19 '16 at 11:37
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    $\begingroup$ @GodLovesATrier The CBOE site tool is very limited and only calculates the margin for a specific trade structure you choose. It also has no way of handling non-traditional trades. I need something that I can give the trade components (legs) and it determines the type of margin aplicable. The CBOE online tool is also server side and could not be used as a library in a project. I wish the project you pointed to actually amounted to something. Thanks $\endgroup$ – drobertson Oct 19 '16 at 16:01
  • $\begingroup$ Ok, looks like no obvious answers even with a bounty. Is anyone interested in contributing to a .NET (C#) open source project on Github to create this? $\endgroup$ – drobertson Oct 24 '16 at 17:47

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