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.

Schedule
Additional Initial Margin
SIMM
SIMM product
Schedule
Notional and PV
Schedule
Margin
Schedule
Parameters
Notional
and PV
Additional
Initial Margin
Addon
parameters
SIMM
Sensitivities
Variance-
covariance
parameters
Total IM