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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 |