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The IRS Margin Estimation Calculator is an Excel add-in allowing users to margin CME delta ladders directly through excel. A user can pull risk data from the CME FTP site daily and upload in the reference data folder to receive current or past margin results. The user also has the ability to have the XML request and response populated within the log folder if needed.


Installation

  1. Initiate Setup Wizard.
  2. Click Next.

3. Select Installation folder and click Next.

4. Click Next.

The software installs.

5. Click Close.

When complete, all binaries can be found at the specified folder during the setup:

Excel AddIn Installation:

  1. Bring up Excel, go to File | Options | Add Ins and select Go.


a) If previously installed:

b) If first-time install, select Browse, and locate the installation PortfolioOptimzierAddIn path.

The installation path is the folder selected in the installation process and select PortfolioOptimizerAddIn-AddIn.xll
 

Using the IRS Margin Estimation Calculator

 There are three functions:

  • GetDLMargin(Range of Inputs)
  • GetDLMargin(Range of Inputs, verbose) => Require Admin Credential. It will run slower since it has to output the log
  • GetReferenceDataDate()

GetDlMargin will return Maintenance margin
If GetDlMargin is passed with the second parameter, where verbose is true, it will create the log file with request parameters in xml format, and response output in xml format. This command will require you to run with Administrator rights.

To Run Excel in Administrator Mode

  1. Click the Start Button
  2. Type "Excel"
  3. Press SHIFT + CTRL + Enter

The output of the log file can be found at:
The path selected during setup\Log as shown below


GetReferenceDataDate() function will return the reference data (Base Curve and Log Return) date timestamp.
The reference data is located at:
The path selected during setup\ReferenceData.
New reference data can be downloaded from FTP site. You will need to create a new folder with the same pattern of directory name and file name.

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