Package org.drip.sample.simm

ISDA Product SIMM Margin Estimation
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    ProductMargin20
    ProductMargin20 illustrates the Computation of the ISDA SIMM 2.0 Product Margin for across a Group of Risk Factor Exposure Sensitivities.
    ProductMargin21
    ProductMargin21 illustrates the Computation of the ISDA SIMM 2.1 Product Margin for across a Group of Risk Factor Exposure Sensitivities.
    ProductMargin24
    ProductMargin24 illustrates the Computation of the ISDA SIMM 2.4 Product Margin for across a Group of Risk Factor Exposure Sensitivities.