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01_03_2024.txt
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56 lines (50 loc) · 3.67 KB
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Features:
Bug Fixes/Re-organization:
- SIMM Margin Risk Factor Aggregate IR - Curvature Covariance OIS MUNICIPAL (1, 2, 3)
- SIMM Margin Risk Factor Aggregate IR - Linear Covariance LIBOR 1M 3M (4, 5, 6)
- SIMM Margin Risk Factor Aggregate IR - Curvature Covariance LIBOR 1M 3M (7, 8, 9)
- SIMM Margin Risk Factor Aggregate IR - Linear Covariance LIBOR 1M 6M (10, 11, 12)
- SIMM Margin Risk Factor Aggregate IR - Curvature Covariance LIBOR 1M 6M (13, 14, 15)
- SIMM Margin Risk Factor Aggregate IR - Linear Covariance LIBOR 1M 12M (16, 17, 18)
- SIMM Margin Risk Factor Aggregate IR - Curvature Covariance LIBOR 1M 12M (19, 20, 21)
- SIMM Margin Risk Factor Aggregate IR - Linear Covariance LIBOR 1M PRIME (22, 23, 24)
- SIMM Margin Risk Factor Aggregate IR - Curvature Covariance LIBOR 1M PRIME (25, 26, 27)
- SIMM Margin Risk Factor Aggregate IR - Linear Covariance LIBOR 1M MUNICIPAL (28, 29, 30)
- SIMM Margin Risk Factor Aggregate IR - Curvature Covariance LIBOR 1M MUNICIPAL (31, 32, 33)
- SIMM Margin Risk Factor Aggregate IR - Linear Covariance LIBOR 3M 6M (34, 35, 36)
- SIMM Margin Risk Factor Aggregate IR - Curvature Covariance LIBOR 3M 6M (37, 38, 39)
- SIMM Margin Risk Factor Aggregate IR - Linear Covariance LIBOR 3M 12M (40, 41, 42)
- SIMM Margin Risk Factor Aggregate IR - Curvature Covariance LIBOR 3M 12M (43, 44, 45)
- SIMM Margin Risk Factor Aggregate IR - Linear Covariance LIBOR 3M PRIME (46, 47, 48)
- SIMM Margin Risk Factor Aggregate IR - Curvature Covariance LIBOR 3M PRIME (49, 50, 51)
- SIMM Margin Risk Factor Aggregate IR - Linear Covariance LIBOR 3M MUNICIPAL (52, 53, 54)
- SIMM Margin Risk Factor Aggregate IR - Curvature Covariance LIBOR 3M MUNICIPAL (55, 56, 57)
- SIMM Margin Risk Factor Aggregate IR - Linear Covariance LIBOR 6M 12M (58, 59, 60)
- SIMM Margin Risk Factor Aggregate IR - Curvature Covariance LIBOR 6M 12M (61, 62, 63)
- SIMM Margin Risk Factor Aggregate IR - Linear Covariance LIBOR 6M PRIME (64, 65, 66)
- SIMM Margin Risk Factor Aggregate IR - Curvature Covariance LIBOR 6M PRIME (67, 68, 69)
- SIMM Margin Risk Factor Aggregate IR - Linear Covariance LIBOR 6M MUNICIPAL (70, 71, 72)
- SIMM Margin Risk Factor Aggregate IR - Curvature Covariance LIBOR 6M MUNICIPAL (73, 74, 75)
- SIMM Margin Risk Factor Aggregate IR - Linear Covariance LIBOR 12M PRIME (76, 77, 78)
- SIMM Margin Risk Factor Aggregate IR - Curvature Covariance LIBOR 12M PRIME (79, 80, 81)
- SIMM Margin Risk Factor Aggregate IR - Linear Covariance LIBOR 12M MUNICIPAL (82, 83, 84)
- SIMM Margin Risk Factor Aggregate IR - Curvature Covariance LIBOR 12M MUNICIPAL (85, 86, 87)
- SIMM Margin Risk Factor Aggregate IR - Linear Covariance PRIME MUNICIPAL (88, 89, 90)
- SIMM Margin Risk Factor Aggregate IR - Curvature Covariance PRIME MUNICIPAL (91, 92, 93)
- SIMM Margin Risk Factor Aggregate IR - Linear (94)
- SIMM Margin Risk Factor Aggregate IR - Curvature (94)
- SIMM Margin Risk Measure Aggregate (95, 96, 97)
- SIMM Margin Risk Measure Aggregate - Core SBA Variance (98, 99)
- SIMM Margin Risk Measure Aggregate - Residual SBA Variance (100, 101)
- SIMM Margin Risk Measure Aggregate - Bucket Map (102, 103)
- SIMM Margin Risk Measure Aggregate - Constructor (104, 105)
- SIMM Margin Risk Measure Aggregate - SBA (106)
- SIMM Margin Risk Measure Aggregate CR (107, 108, 109)
- SIMM Margin Risk Measure Aggregate CR - Core SBA Variance (110, 111)
- SIMM Margin Risk Measure Aggregate CR - Residual SBA Variance (112, 113)
- SIMM Margin Risk Measure Aggregate CR - Bucket Map (114, 115)
- SIMM Margin Risk Measure Aggregate CR - Constructor (116, 117)
- SIMM Margin Risk Measure Aggregate CR - SBA (118)
- SIMM Margin Risk Measure Aggregate CR (119, 120)
Samples:
IdeaDRIP: