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ForwardInitialMargin

Implementation of Forward Initial Margin Calculation with ISDA SIMM for MVA. This Project is based on finmath-lib: https://github.com/finmath/finmath-lib and makes use of Adjoint Algorithmic Differentiation (AAD) provided here: https://github.com/finmath/finmath-lib-automaticdifferentiation-extensions

Install / Use

/learn @NaserVi/ForwardInitialMargin
About this skill

Quality Score

0/100

Supported Platforms

Universal

Related Skills

View on GitHub
GitHub Stars6
CategoryDevelopment
Updated2y ago
Forks2

Languages

Java

Security Score

60/100

Audited on Apr 24, 2023

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