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WPR:  The Weighted Price Risk Method calculation determines the amount of Intercommodity Spread offsets available, either by per delta or per scan range amount.  The WPR Method can be calculated by one of three ways:  Normal, Scan Range or Scan Range Cap Method. 

  • The Normal Method (NORMAL) is calculating the WPR by normal delta-based spreading, where the WPR is equal to the Price Risk/Rounded Net Delta
  • In the Scan Range Method (SCANRANGE), the WPR is equal to the Scan Range amount.  
  • In the Scan Range Cap Method (SCANRANGE_CAP), the WPR is calculated normally, except the Scan Range is capped at the Scan Range amount.