Using PC-SPAN^® version 4 -- Quick Reference Guide

Section 1:  Introduction

PC-SPAN version 4 is the first version with a graphical user interface, and there are many aspects of how it looks and the specifics of how you operate it which are new.

The basic functionality and the overall process for using it, however, have not changed.  You still do the following:

• Load SPAN risk parameter files for the points in time (typically, for the end-of-day settlement for particular business dates) and exchange complexes (typically clearing organizations but also cross-margin agreements and other margining business functions) of interest.
  
  
• Enter portfolios and their positions, and/or load them from a datafile.
  
  
• Calculate performance bond requirements.
  
  
• View the results on-line, print the results, and/or export them to a file so that you can import them to other system(s).

In addition to the new interface, PC-SPAN version 4 also supports new flexibility in both the SPAN calculation algorithm, and in the types of derivative and non-derivative products supported.  You may also wish to read the new SPAN 4 Technical Specifications.

We hope that you will find the new version to be intuitive, easy to use, and an improvement over previous versions.

Some SPAN concepts

PC-SPAN version 4 uses the term exchange complex exactly the same way that previous versions did.  An "exchange complex" is either (1) a clearing organization or exchange for which normal performance bond calculations are being done, or (2) some other business function -- such as a cross-margin agreement -- involving one or more clearing organizations or exchanges.

Combined commodities are also used in PC-SPAN 4 as they were in previous versions.  Each exchange complex has a set of combined commodities defined for it.  Each product in an exchange complex is assigned to a specific combined commodity.  For a specific portfolio, SPAN performance bond requirements are calculated for each combined commodity represented in the portfolio.

Most PC-SPAN users will process data for the final end-of-day settlement, or for the early (preliminary) end-of-day settlement.  Some users, however, will use PC-SPAN for intraday points in time.  PC-SPAN version 4 generically uses the term point in time to identify either an end-of-day or intraday time.

You'll also see in PC-SPAN version 4 that it supports the calculation of more than one level of performance bond requirement for the same portfolio.  These different levels are called performance bond classes.  The first class, with the lowest performance bond requirement, is called the core class, and the next higher one is called the reserve class. 

PC-SPAN supports completely separate calculations of requirements for the different performance bond classes, with separate sets of risk arrays and other parameters.  In addition, it supports different rates for different account types, and the specification of rates separately for maintenance requirements and for initial requirements.  To facilitate this flexibility, you will see in PC-SPAN version 4 a concept called a rate identifer, or just rate ID.  A rate ID is an integer that fully identifies a set of SPAN margin rates, and the performance bond requirement derived from it.  For example, rate ID number one identifies the values pertaining to hedge customers, maintenance-level requirements, in the core performance bond class.

For each combined commodity in a portfolio, you'll see the overall SPAN performance bond requirement(s).  There will typically be separate maintenance and initial requirements (although in most cases, for other than speculative customer portfolios, these will be the same.)  In addition, for normal customer-level calculations, you'll typically see only the first, core-class requirement.

An overall SPAN performance bond requirement for a combined commodity is comprised of the following components:  the scan risk, the intracommodity spread charge (often previously called the intermonth, or calendar, spread charge), the spot charge (often previously called the delivery charge), the intercommodity spread credit, and the short option minimum.  SPAN takes the sum of the scan risk, the intracommodity spread charge and the spot charge, and then subtracts the intercommodity spread credit.  This result is then compared to the short option minimum, and the larger of the two is then selected as the SPAN requirement.

SPAN requirements for the individual combined commodities in the portfolio are then converted to a common portfolio currency and aggregated.  The resulting overall portfolio SPAN requirement is then compared to a value consisting of the ledger balance, the open trade equity, the available net option value, and the performance bond (haircutted) value of other collateral assets such as securities on deposit.

Complete details on SPAN can be found in the SPAN Pages on the CME's Web site at www.cme.com/span.

Section 2:  Installation

For quick installation instructions...

For technical details about PC-SPAN version 4 installation...

Starting PC-SPAN

Like any Windows program, PC-SPAN version 4 can be initiated in any of several different ways, including:

• by selecting it from the Start menu
  
  
• through a shortcut to it which may be installed on your desktop, or which has been placed as an icon directly on your Task Bar
  
  
• by directly executing the span.exe program which is located in the bin subdirectory of the directory where you have installed the program
  
  
• by selecting a SPAN document -- a file whose name ends in .spn.  (More on this below.)

PC-SPAN Version 4's Three-Tabbed User Interface

When you first run PC-SPAN, you'll see that the main window has three sub-windows, which appear as tabs.

• The Data window:  this is where you load SPAN risk parameter files, define portfolios and their positions, and calculate performance bond requirements.
  
  
• The Reports window:  this is where you view reports online, and choose to print them if desired.
  
  
• The Documentation window:  this is where online documentation for the program can be found.

You can switch between these three windows at any time by clicking on the desired tab, or by using the View command on the menu.

PC-SPAN as a Windows application, and the concept of the "SPAN document"

When you first run PC-SPAN version 4, you will be in the Data window, and PC-SPAN will show you a blank "SPAN document".

As you work -- loading risk parameter files, entering portfolios, calculating performance bonds, etc. -- you are editing that SPAN document.

Just as with Microsoft Word, Excel, and many other Windows applications, your document is actually held in memory (RAM.)  It is not automatically saved to disk.  It's up to you if and when to save your document to disk.  

When you do save it to disk, you can give it any filename, but the last part of the filename -- also known as the "filetype" or "extension" -- will be .spn.  The default name for your SPAN document, which you can accept or change, is span.spn.

(When you install PC-SPAN, the .spn filetype is "registered" with Windows.  So Windows knows that any file that has a name ending in .spn is a SPAN document.  If you're in Windows Explorer, for example, if you double-click on a SPAN document, PC-SPAN version 4 will be launched and that SPAN document will be opened in it.)

You can have as many SPAN documents as you want stored on your disk(s), named any way you want.  At any time, if you want to resume working with a SPAN document saved on disk, you can either:

• Using Windows Explorer or similar program, find the SPAN document file and execute it.   As indicated above, PC-SPAN version 4 will be launched, and the selected SPAN document opened within it.
  
  
• From within PC-SPAN version 4, select the "File Open" command from the menu, or just click on the "Open" button in the toolbar.  The "Open" dialog box will display.  Find the desired SPAN document file, and either double click on it, or select it and then click on the "Open" button in the dialog.

By default, PC-SPAN version 4 will save your SPAN documents in the data subdirectory of the main directory where the program is installed.  You can save SPAN documents anywhere, however.

PC-SPAN version 4 has a "single document interface".  You can have only one document open at a time in a copy of PC-SPAN 4.  You can have as many copies of PC-SPAN running at the same time as you want, however.  For example, if you want to work on a new SPAN document without closing the one you're currently working on, just start another copy of PC-SPAN.

Suppose you have a SPAN document already open in PC-SPAN 4, and you have made some changes to that document since you last saved it.  If you now tell PC-SPAN 4 to open a new document, it will ask you whether you want to save the current document, before clearing it out of memory and loading the new document.

Working in the Data window

When you work in the Data window, you will see your SPAN data arranged in a "tree view."  This works very much like the tree view in Windows Explorer and many other programs.  You see your data in a hierarchical structure.

If you see a data element -- called a "node" -- which has a plus sign ("+") to the left of it, that means that the node is expandible.  Click on the plus sign to expand the node, to see the data beneath it.  When the node is expanded, the symbol will change to the minus sign ("-").  Click on the minus sign to contract the node -- to make the data beneath it invisible again.

You can use the keyboard to work with the tree view if you choose.  Simply use the Up arrow and the Down arrow to browse up or down.  If you are on a node which is expandible, press the Right arrow to expand it, or the Left arrow to contract it.

Some data items on the tree -- for example -- portfolios, or contracts, -- have "Properties" dialog boxes associated with them.  You can bring up the dialog box associated with an item in several different ways.  If the item is selected, press either Enter or Alt-Enter.  Or you can double click on the item.  Or you can single click on the item to select it, right-click on it to bring up its associated "object" menu, and then select "Properties."

The structure of the data in the tree view is as follows:

• At the very top level, you'll see a node for the overall SPAN document.
  
• Beneath this, there will be nodes for each point in time for which any data has been loaded.
  
• For each point in time, you will see two overall sections, one for portfolios defined at that point in time, and another for exchange complexes for which data is loaded for that point in time.

Basic operations:  Opening and saving SPAN documents, and loading SPAN risk parameter files

• To load data from a SPAN risk parameter file into the current SPAN document:  click on the Load button on the toolbar, or select File Load from the menu, or press Ctrl-L.  The Load File dialog box will display.  Select the file to be loaded, and click Open.  The selected file is loaded.
  
  
• To open a SPAN document previously saved to disk:  Click the Open button on the toolbar, or select File Open from the menu, or press Ctrl-O.  The Open dialog box displays.  Select the SPAN document you wish to open -- the filename will end with .spn -- and click the Open button.
  
  When you do this, if there is a SPAN document already loaded which has been modified since its last save, you will be prompted to save that previously-loaded document, before it is cleared and the new one opened.
  
  
• To save a SPAN document:  click the Save button on the toolbar, or select File Save from the menu, or press Ctrl-S.  If you are saving the SPAN document for the first time, the Save As dialog box will display so that you can name the document and select the disk and directory where you want to save it.
  
  The default location for SPAN documents is the data directory underneath the main application directory, but you can save SPAN documents anywhere.
  
  For previously-existing documents, you can use the Save As command to save them under a new name and/or location.
  
  
• To clear the currently loaded SPAN document and start a new one:  Click the New button on the toolbar, or select File New from the menu, or press Ctrl-N.
  
  
• To delete data for a particular point in time from the current SPAN document:  select the desired point in time on the tree.  Right-mouse click on the point-in-time to display the associated menu, and select Delete.

Using the Log View

Use the Log command on the View menu to display or hide the Log View.  This is the new-and-improved equivalent of the old calculation log and load log.  You can also change the relative size of the log view by dragging the top of the view up or down.

Section 4:  Loading SPAN risk parameter files

By default, PC-SPAN version 4 will look to the Data subdirectory of the main application directory for risk parameter files to load, but you can select risk parameter files to load from any disk and directory.

PC-SPAN version 4 supports the following SPAN risk parameter file formats:

• the unpacked format, also called the standard unpacked format:  Files are named with the .par filetype -- for example, cme1028s.par.
  
  
• the expanded unpacked format.  Files are named with the .pa2 filetype -- for example, cdc1028s.pa2.
  
  
• the new XML-based SPAN file format.  Files are named with the .spn filetype -- for example, cme.19991028.s.cust.spn.

XML stands for Extensible Markup Language.  An XML-based SPAN file is actually just a SPAN document.  So you can load it using either the Load command, or the Open command.  But there are two differences between the Load command and the Open command worth understanding:

• Which file formats the command supports:
  
  
  • The Open command is used only for SPAN documents -- either XML-based SPAN risk parameter files, or SPAN documents saved from within PC-SPAN version 4.  
    
    
  • The Load command may be used for any SPAN file format.
    
    
• What happens with the current SPAN document:
  
  
  • The Open command first clears the current SPAN document before loading the new one.  
    
    
  • The Load command adds the data from selected SPAN file to the data already in the current document. 

If you are loading a SPAN file for an exchange complex and point in time, and if data for that exchange complex and point in time is already contained in the current SPAN document, the data in the document will be updated by the data from the SPAN file.  In other words, you can reload a SPAN file without first having to delete its data from the current SPAN document.

PC-SPAN version 4 gives you total flexibility in how you name your SPAN risk parameter files.  You don't have to use the old naming conventions, and you can use long filenames.  For each SPAN risk parameter file, PC-SPAN 4 will determine the point in time and exchange complex to which it pertains, from the data in the file.

PC-SPAN version 4 does not support the "packed" SPAN file format -- which used the .pck filetype -- and in which text data was stored using the EBCDIC coding scheme and numeric data in "packed decimal".  Only the CME and CBOT create this format, it is only available to outside parties in limited circumstances, and both CME and CBOT also provide SPAN data in the standard unpacked format.

We do intend to add support for the London formats, as well as certain features of SPAN used by the London Clearing House, in the near future.

Obtaining and unzipping SPAN risk parameter files

SPAN risk parameter files for the various exchanges and clearing organizations can be obtained from a variety of sources.  One of the simplest and best ways is from the CME's FTP site on the Internet, at ftp.cme.com/pub/span/data.  You can download SPAN files from this site using your Web browser or a separate "FTP client" program.  For more information, or to download SPAN files, see the SPAN pages of the CME's Web site at www.cme.com/ftp.wrap/span/data/.

SPAN files obtained from the CME's FTP site are "zipped".  This means that the actual SPAN file is compressed inside a "ZIP" file.  Before you can use the SPAN file, you will need to extract ("unzip") the SPAN file from within the ZIP file.  There are many programs available for doing this.  Shareware versions of two of the most popular such programs -- PK-Zip and WinZip -- are included on the PC-SPAN version 4 CD.

Section 5:  Defining Portfolios

Creating new portfolios

There are several ways to create a new portfolio.  You can do any of the following:

• Click on the New Portfolio button on the toolbar.
  
  
• Press Ctrl-F, the keyboard shortcut for new portfolio.
  
  
• Select File and then New Portfolio from the menu.
  
  
• Select the Portfolios node on the tree view, and then press Insert.
  
  
• Select the Portfolios node on the tree view, right-click on the node, and then select New Portfolio from the menu that pops up.

If you're using the button on the toolbar or the selection from the menu, and if there is more than one point in time defined in the current SPAN document, a dialog box will display so that you can select the point in time for which the portfolio should be created.

The portfolio dialog box will now display, and you can start entering data for the portfolio.  When you are done, click on the OK button (or press Enter) to save the portfolio.  (If you change your mind and don't want to save the portfolio, just select the Cancel button.)

Working with the Portfolio dialog box

The Portfolio dialog box has four tabs:

• Portfolio -- for maintaining overall information about the portfolio -- for example, its account number or ledger balance
  
  
• Positions -- for viewing or defining the positions in the portfolio
  
  
• Performance Bond Requirements -- for viewing the performance bond requirements for the portfolio, once they have been calculated
  
  
• Values -- for viewing the overall values of futures-style products and premium-style products in the portfolio.

Like any tabbed dialog box, you can switch among the different tabs either by clicking on the tab, or by pressing Ctrl-Tab.  For example, you can quickly move from the portfolio tab to the positions tab by pressing Ctrl-Tab, and you can quickly return to the portfolio tab by pressing Shift-Ctrl-Tab.

After making any changes to the portfolio -- either on the portfolio tab or the positions tab -- be sure to select OK if you want the portfolio data to be updated.  The portfolio data will not be updated until and less you do this.

Defining overall portfolio data

Here's what you can specify on the portfolio tab:

• Parent account:  if you are defining a portfolio which is a subaccount of an omnibus account, select the parent omnibus account here.  Except for such subaccounts, this field should be left blank.
  
  
• Clearing firm:  provide a value -- any value -- to identify the clearing firm.
  
  
• Account:  provide a value -- any value -- to identify the specific account at that firm, or accept the default value of "*** New Portfolio ***".
  
  
• Account type:  select from any of the available account types.  Account types are either customer-level -- for accounts held on the books of a clearing member firm -- or clearing-level -- for clearing firm accounts on the books of a clearing organization.  Customer-level account types currently defined are member, hedger, speculator, and omnibus.  Clearing-level account types currently defined are normal and member.
  
  
• Segregation type:  if you wish, you can identify the specific segregation type (also called the origin) of the account.  Currently defined segregation types are CUST for customer, or HOUS for house (ie, proprietary.)  If you choose not to identify the specific segregation type of an account, leave this field at its default value of N/A (not applicable.)
  
  
• Portfolio currency:  select the currency in which the overall performance bond requirement for this account will be denominated.
  
  
• Ledger Balance, Open Trade Equity, and Securities on Deposit:  provide the values, denominated in the specified portfolio currency, for these collateral assets for the account.  Generally, these fields are used as follows:
  
  
  • Ledger Balance contains the cash balance in the account not associated with open positions in futures-style products.
    
    
  • Open Trade Equity contains the cash balance associated with open positions in futures-style products.
    
    
  • Securities on Deposit contains the haircutted performance bond value associated with non-cash collateral assets such as debt or equity securities.

You'll note several improvements here over previous PC-SPAN versions:

• Firm and account identifiers can be any (reasonable) length.
  
  
• Within a point in time, portfolios are made unique by their firm identifier, account identifier and segregation type.  If you need to define two different accounts, which have the same firm and account ID's but different segtypes, you can now do this.
  
  
• You can change the firm and account identifiers at any time.
  
  
• You can specify different currencies in which the overall performance bond requirement should be denominated, for different portfolios.  They don't all have to be the same.

Section 6:  Defining Positions

Defining Positions

You can display the Positions tab of the Portfolio dialog box in several ways:

• Display the portfolio dialog box, then click on the Positions tab.
  
  
• Press Ctrl-E, the keyboard shortcut for editing positions.
  
  
• Select File, then Edit Positions from the menu.

With the Positions tab of the Portfolio dialog box, you specify the positions in a portfolio.

There are four fields -- Exchange, Product, Product Type, and Option Series which you use to specify the set of contracts of interest.  These are called Type-Down Drop-Down fields.  You can either type values in them, or click on the down arrow at the right of the field to drop down a list of allowable values, and then select from the list.

For example, to enter positions in the CME's E-Mini S&P 500 futures contracts, you would select CME for the exchange, ES for the product, and Future for the product type.  To enter positions in options on these futures, you would change product type to Option on Future and then select the option series -- for example, the January 2001 options on the March 2001 future.

Once you have specified the values for these fields, you will see a spreadsheet-style grid of available contracts, with whatever positions are currently defined for them:

• To enter a position in a particular contract or to change the quantity for an existing position, merely click in the Net column by that contract to put the cursor there, and type the position quantity.
  
  
• To delete a position, change the position quantity to zero.

You can move around within the grid using the mouse, or via the up arrow,  down arrow, or Enter keys.  If you are entering omnibus account positions, use the Enter key to move from the Total Long column to the Total Short column.

You can re-size the grid to suit your preferences just by dragging its edge with the mouse, just like you can resize any standard window.

There are two "check box" fields on the Positions tab that you can use:

• When you check Contracts with Positions, for the selected product or option series, only contracts for which nonzero position quantities have been defined will display.
  
  
• If you also check All Positions for Selected Exchange Complex, you will see all positions in the portfolio for the exchange complex in which the specified exchange is contained.

For a normal account, where only a single net position quantity is defined for each position, the grid will show only a single Net column.  

For omnibus accounts, the grid has four colums -- for total long and total short, and for the naked long and naked short quantities as well.  You enter the total long and total short quantities.  The naked long and naked short quantities will be automatically updated when you calculate the performance bond requirement.

The 'Edit Positions' button on the toolbar

You can use the Edit Positions button on the toolbar as a quick way to open the Portfolio dialog box on the Positions tab.  This is equivalent to pressing Ctrl-E.

If you have already selected a particular portfolio when you click this button, the dialog box will display immediately for that Portfolio.

If any other node is selected on the tree and there is more than one portfolio defined, a Select Portfolio dialog box will display to allow you select the specific portfolio for editing positions.

Section 7:  Calculating Performance Bond Requirements

First, if you have a Portfolio dialog box open, click OK to close it.

There are several ways to request that performance bond requirements be calculated for one or more portfolio(s):

• Click the Calculate button on the toolbar, or
  
  
• Press Ctrl-K, the keyboard shortcut for calculationg, or
  
  
• Select Calculate Portfolio(s) on the File menu, or
  
  
• Point to a particular portfolio, right-click, then select Calculate Portfolio(s) from the menu that displays.

If you use either of the first two methods, if you haven't first selected a specific portfolio, the Select Portfolios to Calculate dialog box displays.  You can then specify whether you want to calculate requirements for:

• all portfolios
  
  
• all portfolios for a particular point in time
  
  
• a specific set of portfolios for a particular point in time.  In this case, you can use the standard Windows methods (click, shift-click, ctrl-click) to select from the set of available portfolios.

If you do calculate requirements for a specific portfolio, after the requirement is determined, the Portfolio dialog box for that portfolio will display with the "Performance Bond Requirements" tab selected, so that you can immediately view the overall requirement.

Section 8:  PC-SPAN 4 Reports

PC-SPAN Version 4 creates reports using some advanced new features of XML -- Extensible Markup Language -- and Internet Explorer version 5.

When you select the Reports tab (either click on it, or select it from the menu using View Reports), a temporary SPAN document is created, which is then opened in the Reports module.  The window will now display two panes:

• On the left, the Contents pane, which allows you to select from the set of available reports, and
  
  
• On the right, the Report pane, in which the selected report will display.

On the Contents pane, there are several report folders.  You click on these to open the folder, displaying the list of reports within the folder, and again to close the folder.  By default, the Portfolio reports folder is open when you first enter the Reports tab.

Click on a specific report to prepare it.

Entering report parameters

Depending on the report you select and the data available, dialog boxes may display so that you can select particular report parameters.

For example, suppose you have selected the Positions report, and you have several portfolios defined at each of several different points in time.  In this case, first a dialog box will display allowing you to select the particular point in time.  Then a second dialog box will display allowing you to select one or more portfolio(s) to be included in the report.  You can also use the standard Windows Shift-Click and/or Ctrl-Click combinations to select more than one portfolio.

Working with reports

Once you have requested a particular report and specified any necessary parameters, a small dialog box will display advising you to wait while the report is being generated.  When it is ready, that dialog box will disappear.

The report will now display in the Report pane, with the Report button bar at the top of the pane.  Here's what each button does:

• At the right-hand side of the button bar, you'll see the Page, Go To Page, and Page Size fields:
  
  
  • The Page button shows you how many pages the report consists of, and which of them is displayed now.  For example:  "Page 1 of 6."
    
    
  • The Go To Page button allows you to go directly to a particular page.  Enter the desired page number, and click on the button to display that page.
    
    
  • The Page Size shows the number of data lines which are included per page.  Change this value as desired, and click on the button to change the page size.  The report will then be re-paginated automatically.
    
    
• In the middle of the button bar, you'll see the First, Previous, Next and Last buttons.  Use Previous or Next to go backwards or forwards one page at a time, and First or Last to jump directly to the first or last page of the report.
  
  
• On the left-hand side of the button bar, you'll see the following buttons:
  
  
  • Click the Hide button to hide the contents pane, providing more room on the screen for viewing the report.  Click it again to display the contents pane again.
    
  • Click the Print Current Page button to print just the currently displayed report page.
    
    
  • Click the Print All Report Pages button to print the entire report.
    
    
  • Click the Save button to save the report to a file, so that you can view it or print it again without having to rerun it.
    

Almost all of the reports print nicely in the default portrait mode.  Occasionally, you may need to change a report to landscape mode.  You do this using the Properties button for the printer, after you have clicked on either the Print Current Page or the Print All Report Pages buttons.

Section 9:  Miscellaneous

Using the Tools Menu

From the Tools menu, you can select either the Organization Master maintenance dialog, or the Preferences dialog.  The Organization Master is the PC-SPAN 4 equivalent of previous versions' screens for maintaining master data.   The Preferences dialog is the equivalent of previous versions' screen for maintaining overall system parameters.

Maintaining the Organization Master

The Organization Master dialog allows you to view and/or maintain the data contained in the Organization Master file.  This consists of master definitions for:

• Segregation Types
  
  
• Account Types
  
  
• Clearing Organizations, and for each, their Exchanges and Products
  
  
• Other Business Functions (such as particular cross-margin agreements) and, for each, the clearing organizations, exchanges, and products which participate in those business functions.
  
  
• Currencies

The Organization Master dialog uses a standard tree view to allow you to browse among the various elements of master data, and to select particular ones to display.  To modify any particular entity, double click on it to bring up the dialog box associated with that entity.

Organization master data is contained in a file named OrgMast.mst.  This is the equivalent of previous versions' master files.  As changes are made to the Organization Master data -- for example, exchanges launch new products or new exchanges adopt SPAN -- you can either maintain the Organization Master data yourself, or you can download the updated file from the CME's SPAN Pages on the Internet.

Maintaining Preferences

The Preferences dialog box has two tabbed sections -- General Parameters and Calculation Parameters.

The General Parameters section allows you to specify:

• The SPAN File Directory -- ie, the default location where PC-SPAN version 4 looks for SPAN risk parameter files to load.
  
  
• The SPAN Document Directory -- ie, the default location where PC-SPAN will save SPAN documents.
  
  
• The Organization Master File -- ie, the full path and file name for the the Organization Master file.
  
  
• The SPAN Report Module and the SPAN Documentation Module -- ie, the full path and file name for the main page for each of these two modules.
  
  
• For Parameter File Loading, two check boxes which allow you to:
  
  
  • specify that products "marked for skipping" in the Organization Master File, are to be ignored when SPAN files are loaded.  If you are always interested in only a specific subset of products for a particular exchange complex, you can use this feature to load only those products.
    
    
  • specify that products in SPAN files which have prices equal to zero, are to be ignored when those files are loaded.

Generally, you would leave all of these parameters at their default values, with one exception:  if you have installed PC-SPAN version 4 on a PC where you also have a copy of version 3, you may wish to change to the SPAN File Directory to c:\span\data, the default value for the version 3 "data file directory."  Doing this will make it easy to load SPAN risk parameter files into either version 3 or version 4.

The Calculation Parameters section allows you to specify currency conversion parameters and logging parameters.

Currency conversion parameters allow you to specify how PC-SPAN does currency conversions:

• The native currency is the default value for portfolio currency.  For example, if most or all of the time you want the overall requirement for each portfolio to be denominated in Canadian Dollars, change the native currency to CAD.
  
  
• The conversion currency is the single currency through which "cross-rate" currency conversion are done. 
  
  For example, suppose the performance bond currency for a combined commodity in a portfolio is CAD, the portfolio currency for that portfolio is GBP, and the conversion currency is USD.  The CAD-denominated performance bond requirement for the combined commodity will first be converted to USD, and then from USD to GBP.
  
  
• The To Convert to Native Currency fields allow you to specify how PC-SPAN should obtain the conversion rate from the conversion currency to the native currency.  Either:
  
  
  • Select Use Rate from SPAN File to select this currency conversion rate contained in the SPAN file for the exchange complex in which this combined commodity is contained.
    
    
  • Select Use This Rate and enter the desired conversion rate if you prefer to specify this rate yourself.

The logging parameters allow you to specify what events get logged:

• The Log What radio buttons allows you to specify which processes are logged, and at what level of detail.  PC-SPAN version 4 always logs unusual events which occur during risk parameter file loading and position file loading.  However, you can choose whether in addition you want to log the performance bond calculation, and if so, to choose between two levels of detail.
  
  
• The Severity radio buttons allow you to specify how errors and warnings which may occur during the performance bond calculation should be treated, even if you aren't logging the calculations.  If so, you can choose to have either errors logged, or both errors and warnings logged.