LIBOR Fallbacks
ISDA have launched a consultation for a fallback mechanism in the event that a LIBOR rate ceases to be published. This would mean that any contract referencing the LIBOR rate and governed by the ISDA 2006 Definitions would use these proposed “fallback” rates. How Will it Work? The consultation document states that fallbacks will be defined in […]
ISDA SIMM in Python Dashboards
ISDA SIMM is the industry standard for calculating Initial Margin on non-cleared derivatives The Clarus Microservices API makes it very easy to compute ISDA SIMM™ from Python What-if trades can be easily added to determine the incremental change in SIMM Margin Before and after SIMM Margin levels can be easily displayed in charts and tables CRIF format risk sensitivties can […]