Navigation :
test ../ test user-getting-started.html
Getting started
test ../ test release-notes.html
Release and migration notes
test ../ test cube.html
Cube reference
test ../ test calculations.html
Calculations guide
test ../ test calculations/model-simm.html
- SIMM
test ../ test calculations/model-additional-margin.html
- Additional Initial Margin
test ../ test calculations/applicable-regulations.html
- Applicable Regulations
test ../ test calculations/fx-rates-service.html
- FX Rates Service
test ../ test calculations/parameters.html
- Parameter Sets
test ../ test calculations/post-and-collect-modes.html
- Post and Collect modes
test ../ test calculations/model-schedule.html
- Schedule Initial Margin
test ../ test calculations/worst-of.html
- Worst of Calculation
test ../ test input-files.html
Input file formats
test ../ test datastores.html
Datastores
test ../ test what-if.html
What-If
test ../ test widgets.html
Widgets
Worst of Calculation
For each Netting Set and for each of the Post and Collect modes, the initial margin requirement is defined as the most conservative result across applicable regulations :
$$WorstOf = \max\limits_{{reg \in applicable\ regulations}}SIMM_{reg} + AdditionalMargin_{reg} + ScheduleMargin_{reg}$$
See also