GitHub - NaserVi/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

NaserVi / ForwardInitialMargin Public

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

Name		Name	Last commit message	Last commit date
Latest commit History 104 Commits
.settings		.settings
lib		lib
src		src
.classpath		.classpath
.gitignore		.gitignore
.project		.project
ClassDiagram.ucls		ClassDiagram.ucls
InitialMarginRegression.xlsx		InitialMarginRegression.xlsx
SIMMProductTest.xlsx		SIMMProductTest.xlsx
pom.xml		pom.xml