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DROP SIMM

DROP SIMM implements Initial Margin Analytics based on ISDA SIMM and its Variants.

Component Packages

  • Commodity DROP SIMM Commodity Package implements the Commodity Risk Factor Calibration Settings.

  • Common DROP SIMM Common Package contains the Common Cross Risk Factor Utilities.

  • Credit DROP SIMM Credit Package contains the Credit Qualifying/Non-Qualifying Risk Factor Settings.

  • Equity DROP SIMM Equity Package contains the Equity Risk Factor Calibration Settings.

  • Estimator DROP SIMM Estimator Package implements the ISDA SIMM Core + Add-On Estimator.

  • Foundation DROP SIMM Foundation Package contains the Foundation Utilities for ISDA SIMM.

  • FX DROP SIMM FX Package contains the FX Risk Factor Calibration Settings.

  • Margin DROP SIMM Margin Package implements the ISDA SIMM Risk Factor Margin Metrics.

  • Parameters DROP SIMM Parameters Package contains the ISDA SIMM Risk Factor Parameters.

  • Product DROP SIMM Product Package contains the ISDA SIMM Risk Factor Sensitivities.

  • Rates DROP SIMM Rates Package contains the SIMM IR Risk Factor Settings.

DROP Specifications