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09_21_2018.txt
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69 lines (63 loc) · 2.6 KB
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Features:
- Bucket Aggregate IR Principal Covariance (1)
- Risk Measure Sensitivity IR Settings (2, 3, 4)
- Risk Class Sensitivity IR Aggregate (5)
- SIMM Margin Bucket Sensitivity CR (22)
- Risk Measure Sensitivity CR Component (23, 24)
- Risk Class Sensitivity CR Component (25)
- Product Class Sensitivity Settings Margin (26)
- ISDA SIMM FRTB SBA-C Actual (57)
Bug Fixes/Clean-up:
Samples:
- Rates Currency Delta Margin 2.0 (6)
- Rates Currency Delta Margin 2.1 (7)
- Rates Currency Delta 2.0 (8)
- Rates Currency Delta 2.1 (9)
- Rates Currency Vega Margin 2.0 (10)
- Rates Currency Vega Margin 2.1 (11)
- Rates Currency Vega 2.0 (12)
- Rates Currency Vega 2.1 (13)
- Rates Currency Curvature Margin 2.0 (14)
- Rates Currency Curvature Margin 2.1 (15)
- Rates Currency Curvature 2.0 (16)
- Rates Currency Curvature 2.1 (17)
- Rates Class Margin 2.0 (18)
- Rates Class Margin 2.1 (19)
- SIMM Product Margin 2.0 #1 (20)
- SIMM Product Margin 2.1 #1 (21)
- Credit Qualifying Bucket Delta Margin 2.0 (27)
- Credit Qualifying Bucket Delta Margin 2.1 (28)
- Credit Qualifying Delta Margin 2.0 (29)
- Credit Qualifying Delta Margin 2.1 (30)
- Credit Qualifying Bucket Vega Margin 2.0 (31)
- Credit Qualifying Bucket Vega Margin 2.1 (32)
- Credit Qualifying Vega Margin 2.0 (33)
- Credit Qualifying Vega Margin 2.1 (34)
- Credit Qualifying Bucket Curvature Margin 2.0 (35)
- Credit Qualifying Bucket Curvature Margin 2.1 (36)
- Credit Qualifying Curvature Margin 2.0 (37)
- Credit Qualifying Curvature Margin 2.1 (38)
- Credit Qualifying Class Margin 2.0 (39)
- Credit Qualifying Class Margin 2.1 (40)
- Credit Non Qualifying Bucket Delta Margin 2.0 (41)
- Credit Non Qualifying Bucket Delta Margin 2.1 (42)
- Credit Non Qualifying Delta Margin 2.0 (43)
- Credit Non Qualifying Delta Margin 2.1 (44)
- Credit Non Qualifying Bucket Vega Margin 2.0 (45)
- Credit Non Qualifying Bucket Vega Margin 2.1 (46)
- Credit Non Qualifying Vega Margin 2.0 (47)
- Credit Non Qualifying Vega Margin 2.1 (48)
- Credit Non Qualifying Bucket Curvature Margin 2.0 (49)
- Credit Non Qualifying Bucket Curvature Margin 2.1 (50)
- Credit Non Qualifying Curvature Margin 2.0 (51)
- Credit Non Qualifying Curvature Margin 2.1 (52)
- Credit Non Qualifying Class Margin 2.0 (53)
- Credit Non Qualifying Class Margin 2.1 (54)
- SIMM Product Margin 2.0 #2 (55)
- SIMM Product Margin 2.1 #2 (56)
- Equity Margin Comparison #1 (58, 59)
- Equity Margin Comparison #2 (60, 61)
- Equity Margin Comparison #3 (62, 63)
- Equity Margin Comparison #4 (64, 65)
- Equity Margin Comparison #5 (66, 67)
- Equity Margin Comparison #6 (68, 69)