Examining The Cleared OTC FX Options Market
One of the better known / worst kept secrets in the OTC markets these days is that the largest clearing houses are planning to clear FX Options. Details on this are very thin. LCH have made a couple announcements over the years with respect to clearing options, and if you look hard enough on the […]
Mechanics of Cross Currency Swaps
Cross Currency Swaps exchange a funding position in one currency for a funding position in another currency. The interbank market trades a resettable floating-floating swap, incorporating a USD cash payment to reset the mark-to-market close to zero at each coupon date. We explain the nuances of the product via the cashflows. The cross currency swap market […]
Microservices: ISDA SIMM™ in R
The Clarus API has a function to compute ISDA SIMM™ from a CRIF file contain portfolio sensitivities. What-if analysis can be performed in addition to the portfolio margin calculation. The function is very easy to call from many popular languages, including R, Python, C++, Java and Julia. What is R? R is a language and […]