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08_16_2018.txt
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45 lines (37 loc) · 1.48 KB
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Features:
- IR Class Sensitivity Settings - Shell (1)
- IR Class Sensitivity Settings Delta (2)
- IR Class Sensitivity Settings Vega (3)
- IR Class Sensitivity Settings Constructor (4, 5, 6)
- SIMM IR Sensitivity Margin Aggregate (7, 8)
- Vega Aggregate Margin Bucket Map (12, 13)
- Core Vega SBA Margin Variance (14, 15)
- Residual Vega SBA Margin Variance (16, 17)
- Risk Class SBA Vega Margin (18)
- Risk Class Margin Aggregate #1 (19, 20)
- Risk Class Margin Aggregate #2 (21, 22)
- Risk Measure EQ Delta Settings (23, 24)
- Equity Vega Sensitivity Settings Parameter (26, 27, 28)
- Commodity Vega Sensitivity Settings Parameter (29, 30)
- ISDA FX Vega Settings #1 (32, 33, 34)
- ISDA FX Vega Settings #2 (35, 36, 37)
- IR Risk Weight Tenor Delta (38, 39)
- IR Weight Tenor Delta Vega (40, 41)
- Tenor Vega Risk Weight #1 (42, 43)
- Tenor Vega Risk Weight #2 (44)
- IR ISDA Bucket Delta Settings (47)
- IR ISDA Bucket Vega Settings (48, 49)
- SIMM Bucket Vega Settings Shell (50)
- SIMM Bucket Vega Risk Weight (51)
- SIMM Bucket Vega Member Correlation (52)
- SIMM Bucket Vega Implied Volatility (53)
- SIMM Bucket Vega Settings Constructor (54, 55, 56)
- Bucket Vega Raw Risk Weight (57)
- Bucket Vega Settings Sensitivity Inheritance (58, 59)
Bug Fixes/Clean-up:
- Risk Factor Aggregate IR Margin (9)
- Risk Class Bucket Delta Aggregate (10, 11)
- Tenor Delta Weight Low Volatility (45, 46)
Samples:
- EQ Delta Initial Margin (25)
- CT Delta Initial Margin (31)