I'm looking at automating the calculation of margin requirements for a portfolio of Eurex markets.

Eurex describe the margin calculations in this document. However, the only tool I can find is a Windows only, UI driven application.

I can go ahead and implement the algorithm as described, but are there other tools used to calculate Eurex margin requirements?

  • $\begingroup$ well if its windows and open source the code i'm assuming your should be able to pull the needed functions from the source code and just use that as such and then automate it your self with what ever platform your using i.e. cron job or windows task scheduler $\endgroup$
    – pyCthon
    Jul 4 '12 at 0:07
  • $\begingroup$ Open source, if only. Sadly not. $\endgroup$
    – Jim
    Jul 4 '12 at 8:41

Actually it turned out to be simpler than I had expected.

Eurex provides Margin Parameters in an xls file that includes the initial margin. This can be multiplied-out by the net position to get the requirement.

My only open issue is that this mechanism doesn't take into account cross-margining.


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