Calculations guide
This section provides an overview of the implemented functionality to support margin requirement calculation.
Summary
Margin is computed for each netting set (PortfolioID) separately.
graph TD;
subgraph SIMM
A[Sensitivities] --> B(SIMM)
C>Variance-
covariance
parameters] --> B end subgraph Additional Initial Margin G[Notional
and PV] --> E(Additional
Initial Margin) D>Addon
parameters] --> E B -. SIMM product .-> E end subgraph Schedule F[Schedule
Notional and PV] --> H(Schedule
Margin) I>Schedule
Parameters] --> H end E --> K(Total IM) B --> K(Total IM) H --> K(Total IM) click B "./calculations/model-simm.html" click E "./calculations/model-additional-margin.html" click I "./calculations/model-schedule.html"
covariance
parameters] --> B end subgraph Additional Initial Margin G[Notional
and PV] --> E(Additional
Initial Margin) D>Addon
parameters] --> E B -. SIMM product .-> E end subgraph Schedule F[Schedule
Notional and PV] --> H(Schedule
Margin) I>Schedule
Parameters] --> H end E --> K(Total IM) B --> K(Total IM) H --> K(Total IM) click B "./calculations/model-simm.html" click E "./calculations/model-additional-margin.html" click I "./calculations/model-schedule.html"