SPAN Commodity Codes and SPAN Risk Parameter Files for the TSE new derivative products
2008/04/23
SPAN Commodity Codes and SPAN Risk Parameter Files for the TSE new derivative products
With the launch of the TSE new derivative products, the following changes will be made to
daily Span Risk Parameter Files from June 16, 2008.
(1) Information on the TSE new derivative products will be added to the record of each product.
* For the commodity code of the TSE new derivative product, please refer to Commodity Code for SPAN
RiskParameter File below.
(2) Type “B” Record will be added to the SPAN risk parameter files for each product.
a) Risk offsetting will be allowed between TOPIX Futures and Mini TOPIX Futures by using
“Delta Scaling Factor” on Type “B” Record from the day above.
b) Delta Scaling Factor shall be “0.1” for Mini TOPIX Futures and “1” for the others.
* For your convenience, here is a sample of the SPAN risk parameter file which will be provided from June 16.
It can be used for a test with PC-SPAN®, etc.
| Commodity Code for SPAN Risk Parameter File [76 kb] |
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| Sample of SPAN Risk Parameter File [475 kb] |
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To view a file in this format, you must get Acrobat Reader which is available here.
