Navigation : test ../ test user-getting-started.html Getting started test ../ test release-notes.html Release and migration notes test ../ test build-configure-project.html Building and configuring Atoti ISDA-SIMM test ../ test dev-core.html SIMM Core test ../ test dev-ui-config.html Configuring the UI test ../ test calculations.html Calculations guide test ../ test configuration.html Configuration files test ../ test cube.html Cube reference test ../ test cube/measures.html - Measures test ../ test cube/measures/additional-margin.html -- Additional Margin test ../ test cube/measures/bucket-level-margin.html -- Bucket level margin test ../ test cube/measures/interim-results.html -- Interim results test ../ test cube/measures/interim-results/concentration-risk-factor.html --- Concentration risk factor test ../ test cube/measures/interim-results/curvature.html --- Curvature test ../ test cube/im_ir_curvaturemargin_partial.html ---- IM_IR_CurvatureMargin_Partial test ../ test cube/lambda_commodity.html ---- Lambda_Commodity test ../ test cube/lambda_creditnonq_non-residual.html ---- LAMBDA_CreditNonQ_Non-residual test ../ test cube/lambda_creditnonq_residual.html ---- LAMBDA_CreditNonQ_residual test ../ test cube/lambda_creditq_non-residual.html ---- LAMBDA_CreditQ_Non-residual test ../ test cube/lambda_creditq_residual.html ---- LAMBDA_CreditQ_residual test ../ test cube/lambda_equity_non-residual.html ---- LAMBDA_Equity_Non-residual test ../ test cube/lambda_equity_residual.html ---- LAMBDA_Equity_residual test ../ test cube/lambda_fx.html ---- Lambda_FX test ../ test cube/lambda_ir.html ---- Lambda_IR test ../ test cube/theta_commodity.html ---- Theta_Commodity test ../ test cube/theta_creditnonq_non-residual.html ---- THETA_CreditNonQ_Non-residual test ../ test cube/theta_creditnonq_residual.html ---- THETA_CreditNonQ_residual test ../ test cube/theta_creditq_non-residual.html ---- THETA_CreditQ_Non-residual test ../ test cube/theta_creditq_residual.html ---- THETA_CreditQ_residual test ../ test cube/theta_equity_non-residual.html ---- THETA_Equity_Non-residual test ../ test cube/theta_equity_residual.html ---- THETA_Equity_residual test ../ test cube/theta_fx.html ---- Theta_FX test ../ test cube/theta_ir.html ---- Theta_IR test ../ test cube/measures/interim-results/parameters.html --- Parameters test ../ test cube/measures/interim-results/sb.html --- Sb test ../ test cube/measures/interim-results/volatilities.html --- Volatilities test ../ test cube/measures/risk-class-level-margin.html -- Risk class level margin test ../ test cube/measures/schedule.html -- Schedule test ../ test cube/measures/sensitivities.html -- Sensitivities test ../ test cube/measures/sensitivity-level-margin.html -- Sensitivity level margin test ../ test cube/measures/weighted-sensitivities.html -- Weighted sensitivities test ../ test cube/additional-margin.html -- Additional Margin test ../ test cube/count.html -- Count test ../ test cube/fxrate.html -- FxRate test ../ test cube/simm.html -- SIMM test ../ test cube/total-im.html -- Total IM test ../ test cube/total-im-segregated.html -- Total IM Segregated test ../ test cube/total-im-unsegregated.html -- Total IM Unsegregated test ../ test cube/worst-regulation.html -- Worst Regulation test ../ test cube/dimensions.html - Dimensions test ../ test datastores.html Datastores test ../ test input-files.html Input file formats test ../ test what-if.html What-If Analysis test ../ test widgets.html Widgets test ../ test pdf-guides.html PDF Guides Theta_FX Description Theta parameter in the curvature margin aggregation Notation $\theta$ Formula $$\theta = min\left ( \frac{\sum_{b,k} CVR_{b,k}}{\sum_{b,k}|CVR_{b,k}|} ,0\right )$$ THETA_Equity_residual Theta_IR