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  • Paris Expanded SPAN File Format for MATIF and Monep Products

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Registered users of PC-SPAN version 4 are invited to download, without charge, build #302 of version 4.01a from the CME's PC-SPAN software distribution website at http://www.swreg.org.  For more information about PC-SPAN version 4, please see www.cme-ch.com/span/span-pcspan-400.htm.  For ordering more ordering information, please see Purchase SPAN.

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Strike prices in the Paris-expanded SPAN file format are not limited to six bytes, as was the case in previously-used positional SPAN file formats.  Accordingly the format for the "expanded" position file has been enhanced by the definition of a new, type "5" record, which allows positions in products with larger strike prices to be loaded.  The new record type is described at www.cme-ch.com/span/spanl201.htm.

Currency Conversions

All Paris Bourse products are margined in Euros (currency code EUR).  But the Paris Bourse is not including any currency conversion rates in its Paris-expanded format SPAN files.  This caused a problem in cases where the portfolio currency is specified as some other currency, for example USD, since there was no way to determine what the correct exchange rate from EUR to USD is.

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