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06_19_2018.txt
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44 lines (36 loc) · 1.51 KB
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Features:
- Interest Rate Vega Risk Weight (1)
- IR Weight Specification Init #1 (2, 3)
- IR Weight Specification Init #2 (4, 5)
- IR Weight Specification Init #3 (6, 7)
- IR Weight Specification Init #4 (8, 9)
- IR Weight Specification Init #5 (10, 11)
- IR Weight Specification Init #6 (12, 13)
- IR Weight Specification Init #7 (14, 15)
- Interest Rate Tenor Correlation Shell (16)
- Interest Rate Tenor Correlation Matrix (17)
- Interest Rate Tenor Correlation List (18)
- Interest Rate Tenor Correlation Constructor (19, 20, 21)
- Interest Rate Tenor Index Map (22, 23)
- Interest Rate Tenor Correlation Entries (24, 25, 26)
- Sub-Tenor IR Correlation #1 (27, 28)
- Sub-Tenor IR Correlation #2 (29, 30)
- Sub-Tenor IR Correlation #3 (31, 32)
- Interest Rate Tenor Correlation Specification (33, 34)
- Interest Rate Tenor Correlation #1 (35, 36)
- Interest Rate Tenor Correlation #2 (37, 38)
- Interest Rate Tenor Correlation #3 (39, 40)
- Single Currency Curve Tenor Correlation (41, 42)
- Single Currency Inflation Tenor Correlation (43, 44)
- Basis Swap Spread Tenor Correlation (45)
- Single Cross Curve Currency Correlation (46, 47)
- Cross Currency Curve Inflation Correlation (48)
- Service Env SIMM 2.0 Specification (50)
Bug Fixes/Clean-up:
- SIMM 2.0 Margin Requirements Calculations (49)
Samples:
- Interest Rate Risk Weights Shell (51, 52)
- Interest Rate Risk Weights Regular (53, 54)
- USD IR Risk Weights #1 (55, 56)
- USD IR Risk Weights #2 (57, 58)
- USD IR Risk Weights #3 (59, 60)