PC-SPAN version 4's scripting component is available as a separate utility, called spanit. You can call it from the command line or batch file by issuing following command:
spanit fileName
Where fileName is a fully specified pathname of the script file. Scripting component will attempt to execute commands in the script file and will return 0 if successful and 1 if any significant error is encountered.
If you have the SPAN Risk Manager software, the scripting component is called spanitrm. You work with this component in exactly the same manner as you do with spanit. The only difference is that the script commands available in spanitrm are a superset of those available in spanit.
Script should be written as a regular ASCII file. There are no restrictions on the naming of the file other than restrictions placed by the file system. Every command in the file should be on a separate line (CR serves as a delimiter). Parameters for commands are delimited by comma (any number of spaces between parameters is allowed). Any number of empty lines is allowed between commands. Comments should be placed on separate lines. Comment lines should start with “//”, though any line which starts with something other than one of command keywords will be considered a comment. Script language is case insensitive, however it is recommended that all commands are entered exactly as described in this document for clarity of the script. Any text after the last possible parameter for every command will be ignored. However it is not recommended to exploit this feature for writing comments – it might slow down script processing and can cause your scripts to stop working with future versions of PC-SPAN batch.
Description:
Load file specified in filename into SPAN Risk Manager
Parameters:
Ø fileName fully specified path name of the file to load (required)
Ø busDate business date in YYYYMMDD format (optional)
Ø settleFlag S(settle) or I(intraday) (optional)
Ø finalFlag E(early) or F(final) (optional)
Ø busTime business time in HHMM format (optional)
Ø description point in time description (optional)
Remarks:
Use this command to load files into SPAN Risk Manager. It supports all file formats: *.par, *.pa2, .txt (positions file), and XML. NOREPLACE flag specifies that PC-SPAN should not replace already loaded exchange complexes with the ones from the file (it replaces by default). Other optional parameters could be used if you are loading positions file (.txt or XML format - *.pos). USEXTLAYOUT flag is useful when you are loading a *.txt positions file with Span4 extended layout and want to use this layout (have risk parameter file in XML format). The rest of the parameters specify the point in time where positions should be loaded. If these parameters are not specified (by default) positions will be loaded into the point in time specified in the positions file. If this point in time is not present first available point in time will be used. It is not necessary to fully specify point in time – in most cases just date is sufficient to identify point in time.
Description:
Calculate portfolios loaded into SPAN Risk Manager.
Parameters:
Ø busDate business date in YYYYMMDD format (optional)
Ø settleFlag S(settle) or I(intraday) (optional)
Ø finalFlag E(early) or F(final) (optional)
Ø busTime business time in HHMM format (optional)
Ø description point in time description (optional)
Ø firmCode firm code for portfolio (optional)
Ø acctCode account code for portfolio (optional)
Ø segType segregation type for portfolio CUST or HOUS (optional)
Remarks:
Use this command to calculate portfolios loaded into SPAN Risk Manager. If no optional parameters are specified all portfolios will be calculated. If some of the parameters specifying point in time are present only portfolios for corresponding points in time will be calculated. It is not necessary to fully specify point in time – in most cases just date is sufficient to identify point in time. If, in addition to point in time, some parameters specifying particular portfolio are present only corresponding portfolios from the specified point in time will be calculated.
Description:
Calculate portfolios loaded into SPAN Risk Manager.
Parameters:
Ø busDate business date in YYYYMMDD format (required)
Ø settleFlag S(settle) or I(intraday) (optional)
Ø finalFlag E(early) or F(final) (optional)
Ø busTime business time in HHMM format (optional)
Ø description point in time description (optional)
Ø firmCode firm code for portfolio (optional)
Ø acctCode account code for portfolio (optional)
Ø segType segregation type for portfolio CUST or HOUS (optional)
Remarks:
Use this command to delete portfolios and risk parameters loaded into SPAN Risk Manager. If no optional parameters are specified all portfolios and risk arrays will be deleted. If some of the parameters specifying point in time are present only this points in time corresponding to these parameters will be deleted. It is not necessary to fully specify point in time – in most cases just date is sufficient to identify point in time. If, in addition to point in time, some parameters specifying particular portfolio are present only portfolios corresponding to these parameters in the specified (or first) point in time will be deleted.
Description:
Save SPAN Risk Manager results into the file specified in filename
Parameters:
Ø fileName fully specified path name of the file (required)
Remarks:
Use this command to save SPAN Risk Manager calculation results into the file. Results will be saved in the XML file format.
Description:
Specifies parameters for logging.
Parameters:
Ø processLimit upper limit for process id of the log message source (required)
Ø priorityLimit lower limit for the log message priority (optional)
Remarks:
Use this command to specify logging parameters for SPAN Risk Manager. You can issue this command in any place within your script. Possible values for parameters are:
For processLimit:
PROC_ID_LOAD_RISK = 10;
PROC_ID_LOAD_POS = 20;
PROC_ID_LOAD_XML = 30;
PROC_ID_OMNIBUS = 40;
PROC_ID_CALC_START = 51;
PROC_ID_CALC_PBOND = 60;
PROC_ID_CALC_SPREAD = 70;
PROC_ID_CALC_LIQ_RISK = 80;
PROC_ID_CALC_DETAIL_START = 101;
PROC_ID_CALC_SPREAD_DETAIL = 110;
PROC_ID_CALC_LIQ_RISK_DETAIL = 120;
PROC_ID_CALC_POS_DETAIL = 130;
PROC_ID_UPPER = -1;
For priorityLimit:
PRIORITY_ID_LOW = -1;
PRIORITY_ID_NORMAL = 10;
PRIORITY_ID_WARNING = 20;
PRIORITY_ID_ERROR = 30;
Default values are 0 and 30 (only errors are logged).
Description:
Saves log into specified file.
Parameters:
Ø fileName fully specified path name of the file for log (required)
Remarks:
Use this command to save SPAN Risk Manager log. You can issue this command in any place within your script.
Description:
Select Point In Time for use in the following Calc and Update commands.
Parameters:
Ø busDate business date in YYYYMMDD format (optional)
Ø settleFlag S(settle) or I(intraday) (optional)
Ø finalFlag E(early) or F(final) (optional)
Ø busTime business time in HHMM format (optional)
Ø description point in time description (optional)
Remarks:
Use this command to select Point In Time for use in the Calc and Update commands. If no optional parameters are specified first available Point In Time will be selected. It is not necessary to fully specify Point In Time – in most cases just date is sufficient to identify Point In Time.
Description:
Select Exchange Complex for use in the following Calc and Update commands.
Parameters:
Ø excAcro exchange complex acronym (required)
Remarks:
Use this command to select Exchange Complex for use in the Calc and Update commands. Point In Time should be already selected prior to using this command. If no Point In Time is selected an error will be generated.
Description:
Select BFCC for use in the following Calc and Update commands.
Parameters:
Ø ccCode combined commodity code (required)
Remarks:
Use this command to select BFCC for use in the Calc and Update commands. Exchange Complex should be already selected prior to using this command. If no Exchange Complex is selected an error will be generated.
Description:
Select Product Family for use in the following Calc and Update commands.
Parameters:
Ø exchCode exchange code (required)
Ø pfCode product family code (required)
Ø pfType product family type (required)
Remarks:
Use this command to select Product Family for use in the Calc and Update commands. BFCC should be already selected prior to using this command. If no BFCC is selected an error will be generated.
Possible values for pfType:
PHY - physical
FUT - future
CMB - combination
EQTY - equity (stock)
DEBT - debt
EDEBT - debt equivalence
OOP - option on physical
OOF - option on future
OOC - option on combination
OOS - option on stock
Description:
Set Starting Period for the period range used in Update commands.
Parameters:
Ø periodCode period code in YYYYMM format (required)
Remarks:
Use this command to set Starting Period for the period range for use in Update commands. Product Family should be already selected prior to using this command. If no Product Family is selected an error will be generated.
Description:
Set Ending Period for the period range used in Update commands.
Parameters:
Ø periodCode period code in YYYYMM format (required)
Remarks:
Use this command to set Ending Period for the period range for use in Update commands. Product Family should be already selected prior to using this command. If no Product Family is selected an error will be generated.
Description:
Resets Point In Time selection.
Parameters:
Remarks:
Use this command to reset Point In Time selection. Also resets Exchange Complex, BFCC and Product Family.
Description:
Resets Exchange Complex selection.
Parameters:
Remarks:
Use this command to reset Exchange Complex selection. Also resets BFCC and Product Family.
Description:
Resets BFCC selection.
Parameters:
Remarks:
Use this command to reset BFCC selection. Also resets Product Family.
Description:
Resets Product Family selection.
Parameters:
Remarks:
Use this command to reset Product Family selection.
Description:
Resets Period Range selection.
Parameters:
Remarks:
Use this command to reset Period Range selection.
Description:
Calculates Implied Volatilities for selected object.
Parameters:
Remarks:
Use this command to Calculate Implied Volatilities. It works on the lowest level object already selected (product family, bfcc, exchange complex, point in time). If point in time is not selected it will work on all loaded points in time.
Description:
Does Call/Put Averaging for selected object.
Parameters:
Remarks:
Use this command to do Call/Put Averaging. It works on the lowest level object already selected (product family, bfcc, exchange complex, point in time). If point in time is not selected it will work on all loaded points in time.
Description:
Calculates Series Level Volatilities for selected object.
Parameters:
Ø useZero true means do not filter out zero implied volatilities during calculations (optional)
Ø minExpTime minimum time to expiration in years (optional)
Ø maxIn number of closest in the money options which volatilities will be used in calculations (optional)
Ø maxOut number of closest out of the money options which volatilities will be used in calculations (optional)
Ø minAccept minimum sufficient number of around the money volatilities (optional)
Remarks:
Use this command to Calculate Series Level Volatilities. It works on the lowest level object already selected (product family, bfcc, exchange complex, point in time). If point in time is not selected it will work on all loaded points in time.
Possible values for useZero:
0 - FALSE
1 - TRUE, default
Possible values for minExpTime:
any positive number
0.0273973 (10 business days) - default
Possible values for maxIn:
any positive integer
1 - default
Possible values for maxOut:
any positive integer
3 - default
Possible values for minAccept:
any positive integer
5 - default
Description:
Calculates Theoretical Prices for selected object.
Parameters:
Ø meth calculation method code (optional)
Ø resetAll reset prices flag (optional)
Remarks:
Use this command to Calculate Theoretical Prices. It works on the lowest level object already selected (product family, bfcc, exchange complex, point in time). If point in time is not selected it will work on all loaded points in time.
Possible values for meth:
1 - use option/series level volatility, default
2 - use option level volatility only
3 - use series level volatility only
Possible values for resetAll:
0 - FALSE, reset prices only for contracts with undefined price
1 - TRUE, reset prices for all contracts, default
Description:
Calculates Risk Arrays for selected object.
Parameters:
Ø meth calculation method code (optional)
Ø limitAtOptValue limit risk array values flag (optional)
Remarks:
Use this command to Calculate Risk Arrays. It works on the lowest level object already selected (product family, bfcc, exchange complex, point in time). If point in time is not selected it will work on all loaded points in time.
Possible values for meth:
1 - use option/series level volatility, default
2 - use option level volatility only
3 - use series level volatility only
Possible values for limitAtOptValue:
0 - FALSE, do not limit risk array values, default
1 - TRUE, limit risk array values at option value
Description:
Updates Prices for selected object.
Parameters:
Ø value update value (required)
Ø method update method (optional)
Remarks:
Use this command to Update Prices. It works on the lowest level object already selected (product family, bfcc, exchange complex, point in time). If point in time is not selected it will work on all loaded points in time. It will update prices using value and one of the following methods:
Possible values for method:
SET - set price to value
CHG - change price by value
PCNT - change price by value %
SET is the default method
Description:
Updates Volatilities for selected object.
Parameters:
Ø value update value (required)
Ø method update method (optional)
Remarks:
Use this command to Update Volatilities. It works on the lowest level object already selected (product family, bfcc, exchange complex, point in time). If point in time is not selected it will work on all loaded points in time. It will update volatilities using value and one of the following methods:
Possible values for method:
SET - set volatility to value
CHG - change volatility by value
PCNT - change volatility by value %
SET is the default method
Description:
Updates Price Scans for selected object.
Parameters:
Ø value update value (required)
Ø method update method (optional)
Remarks:
Use this command to Update Price Scans. It works on the lowest level object already selected (product family, bfcc, exchange complex, point in time). If point in time is not selected it will work on all loaded points in time. It will update price scans using value and one of the following methods:
Possible values for method:
SET - set price scan to value
CHG - change price scan by value
PCNT - change price scan by value %
SET is the default method
Description:
Updates Volatility Scans for selected object.
Parameters:
Ø value update value (required)
Ø method update method (optional)
Remarks:
Use this command to Update Volatility Scans. It works on the lowest level object already selected (product family, bfcc, exchange complex, point in time). If point in time is not selected it will work on all loaded points in time. It will update volatility scans using value and one of the following methods:
Possible values for method:
SET - set volatility scan to value
CHG - change volatility scan by value
PCNT - change volatility scan by value %
SET is the default method
Description:
Updates Risk-Free Rates for selected object.
Parameters:
Ø value update value (required)
Ø method update method (optional)
Remarks:
Use this command to Update Risk-Free Rates. It works on the lowest level object already selected (product family, bfcc, exchange complex, point in time). If point in time is not selected it will work on all loaded points in time. It will update risk-free rates using value and one of the following methods:
Possible values for method:
SET - set risk-free rate to value
CHG - change risk-free rate by value
PCNT - change risk-free rate by value %
SET is the default method
Description:
Updates Dividend Yields for selected object.
Parameters:
Ø value update value (required)
Ø method update method (optional)
Remarks:
Use this command to Update Dividend Yields. It works on the lowest level object already selected (product family, bfcc, exchange complex, point in time). If point in time is not selected it will work on all loaded points in time. It will update dividend yields using value and one of the following methods:
Possible values for method:
SET - set dividend yield to value
CHG - change dividend yield by value
PCNT - change dividend yield by value %
SET is the default method
Description:
Updates Times To Expiration for selected object.
Parameters:
Ø value update value (required)
Ø method update method (optional)
Remarks:
Use this command to Update Times To Expiration. It works on the lowest level object already selected (product family, bfcc, exchange complex, point in time). If point in time is not selected it will work on all loaded points in time. It will update times to expiration using value and one of the following methods:
Possible values for method:
SET - set time to expiration to value
CHG - change time to expiration by value
PCNT - change time to expiration by value %
SET is the default method
Description:
Copy selected Point In Time into the Point In Time specified by the command attributes.
Parameters:
Ø description point in time description, can be empty string
Ø busDate business date in YYYYMMDD format (optional)
Ø settleFlag S(settle) or I(intraday) (optional)
Ø finalFlag E(early) or F(final) (optional)
Ø busTime business time in HHMM format (optional)
Remarks:
Use this command to copy Point In Time. This command creates new Point In Time object exactly matching the selected Point In Time. Attributes of the newly created Point In Time will be changed using parameters specified for the command. If Point In Time with these attributes already exists an error will be generated. Point In Time should be selected prior to using this command. If no Point In Time is selected an error will be generated. This command does not affect selected Point In Time.
Description:
Applies what-if scenario stored in the XML file fileName to the selected Point In Time. Requires Point In Time to be selected.
Parameters:
Ø fileName fully specified path name of the what-if scenario XML file (required)
Remarks:
Use this command to apply what-if scenario stored in the XML file fileName to the selected Point In Time. Thtypical sequence of actions before using this command would include creation of a copy of a particular Point In Time. What-if scenario is applied to this copy:
SelectPointInTime
CopyPointInTime
SelectPointInTime
ApplyWhatIf
If DO_CALC flag is specified following actions are performed on the selected PointInTime after applying what-if scenario:
CalcPrice
CalcRiskArray
Calc