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NaserVi / ForwardInitialMargin

Implementation of Forward Initial Margin Calculation with ISDA SIMM for MVA. This Project is based on finmath-lib: https://github.com/finmath/finmath-lib and makes use of Adjoint Algorithmic Differentiation (AAD) provided here: https://github.com/finmath/finmath-lib-automaticdifferentiation-extensions

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initialmarginsimmmva

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Implementation of Forward Initial Margin Calculation with ISDA SIMM for MVA. This Project is based on finmath-lib: https://github.com/finmath/finmath-lib and makes use of Adjoint Algorithmic Differentiation (AAD) provided here: https://github.com/finmath/finmath-lib-automaticdifferentiation-extensions

initialmarginsimmmva

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