isda_simm's Introduction

ISDA SIMM

This is an implementation of ISDA Standard Initial Margin Model (a.k.a. ISDA SIMM™) version 2.3~2.5 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 main.py

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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