ISDA SIMM and IM Schedule, Dynamic Initial Margin via Regression and Dynamic Delta VaR.
Official readme: readme.md
EuropeanSwaption, FxOption, SwapAmericanSwaption, Ascot, BalanceGuaranteedSwap, BermudanSwaption, Bond, BondOption, BondRepo, BondTRS, CBO, CMS, CMSSpread, CapFloor, CapFlooredAverageBMACouponLeg, CapFlooredAverageONIndexedCouponLeg, CapFlooredIborLeg, CapFlooredOvernightIndexedCouponLeg, CappedFlooredCpiLegCashFlows, CappedFlooredCpiLegCoupons, CommodityAveragePriceBarrierOption, CommodityAveragePriceOption, CommodityForward, CommodityOption, CommodityOptionAmerican, CommodityOptionEuropeanCS, CommodityOptionForward, CommoditySpreadOption, CommoditySwap, CommoditySwaption, CommodityVarianceSwap, ConvertibleBond, CpiCapFloor, CreditDefaultSwap, CreditLinkedSwap, CrossCurrencySwap, DurationAdjustedCMS, EquityAsianOptionArithmeticPrice, EquityAsianOptionArithmeticStrike, EquityBarrierOption, EquityCliquetOption, EquityDigitalOption, EquityDoubleBarrierOption, EquityEuropeanCompositeOption, EquityForward, EquityOption, EquityOptionAmerican, EquityOptionEuropeanCS, EquityOutperformanceOption, EquityTouchOption, EquityVarianceSwap, EuropeanSwaption, FlexiSwap, FormulaBasedCoupon, ForwardBond, FxAsianOptionArithmeticPrice, FxAsianOptionArithmeticStrike, FxBarrierOption, FxDigitalBarrierOption, FxDigitalOption, FxDigitalOptionEuropeanCS, FxDoubleBarrierOption, FxDoubleTouchOption, FxForward, FxOption, FxOptionAmerican, FxOptionEuropeanCS, FxOptionForward, FxTouchOption, FxVarianceSwap, IndexCreditDefaultSwap, IndexCreditDefaultSwapOption, QuantoEquityOption, RiskParticipationAgreement_Structured, RiskParticipationAgreement_TLock, RiskParticipationAgreement_Vanilla, RiskParticipationAgreement_Vanilla_XCcy, ScriptedTrade, SensiTrade, Swap, SyntheticCDO, YYCapFloorBermudanSwaption, CMS, CapFlooredIborLeg, CrossCurrencySwap, FxOption, MultiLegOption, SwapBermudanSwaption, CrossCurrencySwap, EuropeanSwaption, FxForward, FxOption, MultiLegOption, ScriptedTrade, SwapEuropeanSwaption, FxOption, SwapAmericanSwaption, Ascot, BalanceGuaranteedSwap, BermudanSwaption, Bond, BondOption, BondRepo, BondTRS, CBO, CMS, CMSSpread, CapFloor, CapFlooredAverageBMACouponLeg, CapFlooredAverageONIndexedCouponLeg, CapFlooredIborLeg, CapFlooredOvernightIndexedCouponLeg, CappedFlooredCpiLegCashFlows, CappedFlooredCpiLegCoupons, CommodityAveragePriceBarrierOption, CommodityAveragePriceOption, CommodityForward, CommodityOption, CommodityOptionAmerican, CommodityOptionEuropeanCS, CommodityOptionForward, CommoditySpreadOption, CommoditySwap, CommoditySwaption, CommodityVarianceSwap, ConvertibleBond, CpiCapFloor, CreditDefaultSwap, CreditLinkedSwap, CrossCurrencySwap, DurationAdjustedCMS, EquityAsianOptionArithmeticPrice, EquityAsianOptionArithmeticStrike, EquityBarrierOption, EquityCliquetOption, EquityDigitalOption, EquityDoubleBarrierOption, EquityEuropeanCompositeOption, EquityForward, EquityOption, EquityOptionAmerican, EquityOptionEuropeanCS, EquityOutperformanceOption, EquityTouchOption, EquityVarianceSwap, EuropeanSwaption, FlexiSwap, FormulaBasedCoupon, ForwardBond, FxAsianOptionArithmeticPrice, FxAsianOptionArithmeticStrike, FxBarrierOption, FxDigitalBarrierOption, FxDigitalOption, FxDigitalOptionEuropeanCS, FxDoubleBarrierOption, FxDoubleTouchOption, FxForward, FxOption, FxOptionAmerican, FxOptionEuropeanCS, FxOptionForward, FxTouchOption, FxVarianceSwap, IndexCreditDefaultSwap, IndexCreditDefaultSwapOption, QuantoEquityOption, RiskParticipationAgreement_Structured, RiskParticipationAgreement_TLock, RiskParticipationAgreement_Vanilla, RiskParticipationAgreement_Vanilla_XCcy, ScriptedTrade, SensiTrade, Swap, SyntheticCDO, YYCapFloor