ISDA SIMM™ IN PYTHON
The Clarus Microservices API makes it very easy to compute ISDA SIMM™ from Python The input data required is a CRIF file contain risk sensitivities What-if trades can be easily added to determine the incremental change in margin We provide a Sandbox within our API Reference page for you to try the API methods Before moving […]
CCP Disclosures: How much does it cost to run a trading business?
The latest batch of CPMI-IOSCO CCP disclosures are out for Q1 2017. We look at Initial Margin across Rates and FX. The Top 10 banks post $14bn across three CCPs. This gives us an insight into the cost of funding a trading business. The split of IM illustrates the intrinsic cost of CCP basis. Initial […]