InitialMargin 1.2.0

.NET Standard 2.0
dotnet add package InitialMargin --version 1.2.0
NuGet\Install-Package InitialMargin -Version 1.2.0
This command is intended to be used within the Package Manager Console in Visual Studio, as it uses the NuGet module's version of Install-Package.
<PackageReference Include="InitialMargin" Version="1.2.0" />
For projects that support PackageReference, copy this XML node into the project file to reference the package.
paket add InitialMargin --version 1.2.0
#r "nuget: InitialMargin, 1.2.0"
#r directive can be used in F# Interactive, C# scripting and .NET Interactive. Copy this into the interactive tool or source code of the script to reference the package.
// Install InitialMargin as a Cake Addin
#addin nuget:?package=InitialMargin&version=1.2.0

// Install InitialMargin as a Cake Tool
#tool nuget:?package=InitialMargin&version=1.2.0

InitialMargin

This library is a C# implementation of the following Initial Margin models for non-cleared derivatives transactions:

Both models can handle Post and Collect regulations through a worst-of approach and Initial Margin values can be calculated by role (Pledgor and Secured). Model mixtures are handled too, which means that a single dataset can define both SIMM™ and Schedule data entities in order to produce two distinct Initial Margin values. On the top of that, the framework is compatible with Common Risk Interchange Format (CRIF™) files.

Disclaimer

This library has been created for educational purposes. Users who are interested in calculating Initial Margin values using SIMM™ for commercial activities must contact ISDA in order to validate its output against a unit test and obtain a license.

Main Features

InitialMargin is...

  • Easy-to-Deploy: all what it requires is compliant input data, either in the form of a CRIF file or as a runtime-generated list of data entities;
  • Easy-to-Maintain: periodic updates to Initial Margin models are easy to integrate and require only minor changes to the library algorithms;
  • Stable: the library implements strong data validation routines and a very detailed exception handling framework.

Requirements

The library is os-agnostic (it has been developed under .NET Standard 2.0) and platform-agnostic, (both x86 and x64 environments are supported). The project targets Visual Studio 2017.

Product Versions
.NET net5.0 net5.0-windows net6.0 net6.0-android net6.0-ios net6.0-maccatalyst net6.0-macos net6.0-tvos net6.0-windows net7.0 net7.0-android net7.0-ios net7.0-maccatalyst net7.0-macos net7.0-tvos net7.0-windows
.NET Core netcoreapp2.0 netcoreapp2.1 netcoreapp2.2 netcoreapp3.0 netcoreapp3.1
.NET Standard netstandard2.0 netstandard2.1
.NET Framework net461 net462 net463 net47 net471 net472 net48
MonoAndroid monoandroid
MonoMac monomac
MonoTouch monotouch
Tizen tizen40 tizen60
Xamarin.iOS xamarinios
Xamarin.Mac xamarinmac
Xamarin.TVOS xamarintvos
Xamarin.WatchOS xamarinwatchos
Compatible target framework(s)
Additional computed target framework(s)
Learn more about Target Frameworks and .NET Standard.
  • .NETStandard 2.0

    • No dependencies.

NuGet packages

This package is not used by any NuGet packages.

GitHub repositories

This package is not used by any popular GitHub repositories.

Version Downloads Last updated
1.2.0 467 7/17/2019
1.1.0 392 7/7/2019
1.0.1 378 7/6/2019
1.0.0 379 7/6/2019