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Article: PRISMA Margin Estimator (PME)

04 January 2016 | Byron Baldwin

In order to provide our Members and clients with most effective tools to estimate margin requirements, to execute portfolio optimizations or to decide on a clearing venue in general, we partnered with OpenGamma to create a new on-premise margin calculation solution.

Key facts:

  • offers quick and easy all kinds of margin calculations for listed derivatives and OTC trades thereby applying the Prisma cross margining algorithm, just like in our production systems
  • covers full Eurex Clearing Prisma product scope
  • easy to integrate into clients' front, middle and back-office IT infrastructures

  • without sending of trades or positions across to external servers or calculation engines necessary. No confidential information has to leave the building.
  • in simple terms, the Java library can be stored on your servers, can be integrated into various systems via Java API and is able to calculate large portfolios in just seconds.
  • Available for free! For legal reason a license agreement must be signed.

What do you need to do?

There are just a few steps to take in order to get started:

  1. Download and fill out the order form for an evaluation license (no time or functional limitations apply to the evaluation version but not permitted for production use)
  2. Send the form to prisma-calculator@eurexclearing.com
  3. You will recieve an online confirmation with download instructions
  4. Read the OpenGamma documentation and technically integrate the library on your side. Create your own interfaces and connections to the library's API and integrate it to your own software applications
  5. Make sure to feed the library with the daily Eurex Clearing TE (Transparency Enabler) files. Files can be retrieved by registered customers from the Eurex Clearing Common Report Engines (CRE). Non-registered customers can order data packages on the Eurex website.
  6. Feed your portfolio via CSV, FIXML or FPML through your applications into the library and receive immediate margin feedback.
  7. In case you want to use the library in a production environment this requires support but is free to use as well. A separate license agreement for production use must be signed first. Please contact prisma-calculator@eurexclearing.com before using the library in production systems and accessing the support hotlines.

Interested? Please talk to your Eurex Clearing Account Manager to get the lastest information.