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Input file formats

This document contains the file formats for the CSV files that can be used by clients as input to the SIMM Accelerator1 Reference Implementation.

Portfolio data and classification configuration files need to be replaced with organization’s data. Calculation parameters contain the default set of parameters as in the SIMM methodology and as a start can be left unchanged.

Sample input files are included in the source distribution. These files are loaded during testing of the reference implementation and provide examples of each of the file types.

A note on file name patterns

The files and their respective names are used as inputs for the accelerator. These files however are read by name according to a pattern, so you can add characters before and after the listed names, such as timestamps or ID numbers. ex: [crif.csv] will be accepted also as [crif_1104894920.csv] and [file1.crif.csv].

  1. Licensed from International Swaps and Derivatives Association, Inc., All Rights Reserved. Please note that your use of this ISDA SIMM(tm) service or product for calculating your firm’s initial margin pursuant to applicable regulations requires a license from the International Swaps and Derivatives Association, Inc. (ISDA), which may be obtained by contacting isdalegal@isda.org. Licensing the ISDA SIMM provides documentation and support required to properly implement and maintain the ISDA SIMM(tm). ↩︎