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https://github.com/finmath/finmath-forward-initial-margin

finmath-lib java mathematical-modelling monte-carlo-simulation mva quantitative-finance

Last synced: 2 months ago
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Host: GitHub
URL: https://github.com/finmath/finmath-forward-initial-margin
Owner: finmath
Created: 2017-12-20T13:08:27.000Z (about 7 years ago)
Default Branch: master
Last Pushed: 2024-06-24T15:04:04.000Z (7 months ago)
Last Synced: 2024-06-24T16:56:27.661Z (7 months ago)
Topics: finmath-lib, java, mathematical-modelling, monte-carlo-simulation, mva, quantitative-finance
Language: Java
Size: 21.8 MB
Stars: 5
Watchers: 5
Forks: 11
Open Issues: 1
Metadata Files:
- Readme: README.md

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README

# finmath-forward-initial-margin

The goal of this project is to use finmath's automatic differentiation capabalities to calculate forward sensitivities which can be used to simulate quantities that rely on sensitivities, for example regulatory figures like SA-CCR or SIMM.