dotnet add package InitialMargin --version 1.2.0
NuGet\Install-Package InitialMargin -Version 1.2.0
<PackageReference Include="InitialMargin" Version="1.2.0" />
paket add InitialMargin --version 1.2.0
#r "nuget: InitialMargin, 1.2.0"
// Install InitialMargin as a Cake Addin #addin nuget:?package=InitialMargin&version=1.2.0 // Install InitialMargin as a Cake Tool #tool nuget:?package=InitialMargin&version=1.2.0
This library is a C# implementation of the following
Initial Margin models for non-cleared derivatives transactions:
- Standard Initial Margin Model 2.1 (SIMM™ 2.1) developed by ISDA
- Schedule Initial Margin Model developed by BCBS
Both models can handle
Collect regulations through a worst-of approach and Initial Margin values can be calculated by role (
Secured). Model mixtures are handled too, which means that a single dataset can define both
Schedule data entities in order to produce two distinct Initial Margin values. On the top of that, the framework is compatible with Common Risk Interchange Format (CRIF™) files.
This library has been created for educational purposes. Users who are interested in calculating Initial Margin values using
SIMM™ for commercial activities must contact ISDA in order to validate its output against a unit test and obtain a license.
Easy-to-Deploy: all what it requires is compliant input data, either in the form of a
CRIFfile or as a runtime-generated list of data entities;
Easy-to-Maintain: periodic updates to Initial Margin models are easy to integrate and require only minor changes to the library algorithms;
Stable: the library implements strong data validation routines and a very detailed exception handling framework.
The library is os-agnostic (it has been developed under .NET Standard 2.0) and platform-agnostic, (both x86 and x64 environments are supported). The project targets Visual Studio 2017.
|.NET||net5.0 net5.0-windows net6.0 net6.0-android net6.0-ios net6.0-maccatalyst net6.0-macos net6.0-tvos net6.0-windows net7.0 net7.0-android net7.0-ios net7.0-maccatalyst net7.0-macos net7.0-tvos net7.0-windows|
|.NET Core||netcoreapp2.0 netcoreapp2.1 netcoreapp2.2 netcoreapp3.0 netcoreapp3.1|
|.NET Standard||netstandard2.0 netstandard2.1|
|.NET Framework||net461 net462 net463 net47 net471 net472 net48 net481|
- No dependencies.
This package is not used by any NuGet packages.
This package is not used by any popular GitHub repositories.