IM_FX

Description Foreign exchange rate margin across sensitivity types. Regulation hierarchy is required.
Notation IMRiskClassIMRiskClass
Formula IMRiskClass=DeltaMarginRiskClass+VegaMarginRiskClass+CurvatureMarginRiskClass+BaseCorrMarginRiskClassIMRiskClass=DeltaMarginRiskClass+VegaMarginRiskClass+CurvatureMarginRiskClass+BaseCorrMarginRiskClass