ISDA_SIMM
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Implementation of ISDA SIMM v2.3~2.6
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ISDA SIMM
This is an implementation of ISDA Standard Initial Margin Model (a.k.a. ISDA SIMM™) version 2.3~2.6 to calculate the initial margin of uncleared over-the-counter derivatives in Python. The implementation is soley based on the official ISDA SIMM Methodology Documents.
비청산 장외파생상품 개시증거금 ISDA SIMM 산출 Python 엔진입니다
Your contribution will be always welcomed!
Getting Started
- Place your CRIF file under the folder "CRIF" with all columns needed for the calculation
- Run python -m main
Results Example
| SIMM Total | Add-On | Product Class | SIMM_ProductClass | Risk Class | SIMM_RiskClass | Risk Measure | SIMM_RiskMeasure |
|---|---|---|---|---|---|---|---|
| 16,111,268,937 | 816,400,002 | Commodity | 289,586,229 | Commodity | 289,586,229 | Curvature | 34,987,138 |
| Delta | 171,187,064 | ||||||
| Vega | 83,412,026 | ||||||
| Credit | 13,774,076,995 | CreditNonQ | 11,473,625,787 | Curvature | 36,291 | ||
| Delta | 11,472,297,989 | ||||||
| Vega | 1,291,507 | ||||||
| CreditQ | 3,933,746,616 | BaseCorr | 9,044,453 | ||||
| Curvature | 33,042 | ||||||
| Delta | 3,922,360,448 | ||||||
| Vega | 2,308,673 | ||||||
| Equity | 34,785,002 | Curvature | - | ||||
| Delta | 34,785,002 | ||||||
| Vega | - | ||||||
| FX | 7,064,086 | Curvature | - | ||||
| Delta | 7,064,086 | ||||||
| Vega | - | ||||||
| Rates | 192,531,632 | Curvature | - | ||||
| Delta | 192,531,632 | ||||||
| Vega | - | ||||||
| Equity | 464,520,787 | Equity | 235,482,184 | Curvature | 6,262,663 | ||
| Delta | 158,843,566 | ||||||
| Vega | 70,375,955 | ||||||
| Rates | 330,171,266 | Curvature | - | ||||
| Delta | 330,171,266 | ||||||
| Vega | - | ||||||
| RatesFX | 766,684,924 | FX | 25,589,599 | Curvature | 9,061,235 | ||
| Delta | 11,926,343 | ||||||
| Vega | 4,602,021 | ||||||
| Rates | 759,126,165 | Curvature | 1,947 | ||||
| Delta | 759,108,218 | ||||||
| Vega | 16,000 |
Warning
If you intend to implement this for any commercial purpose, reach out to ISDA SIMM™ ([email protected]) to obtain a proper liscense. You can find futher details here.
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