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!
- Place your CRIF file under the folder "CRIF" with all columns needed for the calculation
- Run python -m main
| 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 |
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.