InitialMargin 1.2.0

A .NET implementation of the Standard Initial Margin Model (SIMM).

Install-Package InitialMargin -Version 1.2.0
dotnet add package InitialMargin --version 1.2.0
<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
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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.

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.

  • .NETStandard 2.0

    • No dependencies.

This package is not used by any popular GitHub repositories.

Version History

Version Downloads Last updated
1.2.0 73 7/17/2019
1.1.0 71 7/7/2019
1.0.1 69 7/6/2019
1.0.0 69 7/6/2019