Speed, Accuracy, Simplicity
QPR utilizes a proprietary portfolio margin engine that has been engineered to maximize performance and accuracy
For accurate and comprehensive portfolio margining, QPR implements SPAN, PRISMA, and percentage-based and table-lookup margins
Accurate risk solutions
We leverage tried and true algorithms with our uniﬁed database of ﬁnancial instruments and margin engine to automatically conﬁgure the orders-of-magnitude intervals in post-trade risk computations.
This gives risk managers the most accurate risk projection across various parameters such as price movement and volatility changes.
Simplicty & Fast calculations
The margin engine can optionally include working orders to calculate “worst case” margins based on filled, partially filled, and unfilled orders.
Our post-trade risk solution utilizes option pricing formulas used by some exchanges for calculating their daily settlement prices. Where current prices are not available, QPR supports a proprietary estimated pricing methodology based in part on implied values from nearby instruments that are quoted/traded.