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

Name	Name	Last commit message	Last commit date
Latest commit History 104 Commits 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

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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