Array Formulas in Excel

We explain how to work with Array Formulas in Excel. Master the Three Finger Salute CTRL+SHIFT+ENTER. CTRL+/ is an amazingly effective shortcut. It is always easier to expand an array than shrink it. Consistent formatting provides an obvious visual cue when working with arrays. SIMM for Excel SIMM for Excel is an add-in that performs […]

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 […]

ISDA SIMM For Excel

SIMM for Excel performs ISDA SIMM™ Initial Margin calculations from Excel. Free 14-day trials are available for all financial firms. Reconcile ISDA SIMM calculations. Perform pre-trade analysis of your bilateral trades quickly, simply, reliably. The functions calculate Initial Margin across a whole portfolio. Users can also create CRIF sensitivities from trade-level details. Functions That Won’t Kill Excel Our […]

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 […]

ISDA SIMM™ in Excel – Cross Currency Swaps

The ISDA SIMM™ methodology has been expanded to include Cross Currency Swaps. We explain in detail how to create the required input sensitivities. These sensitivities are not the typical cross currency basis risk that a risk management system would calculate. Once the input sensitivities are calculated, the calculation of Initial Margin follows the typical SIMM equations. We show how […]

Microservices: A SIMM Sensitivities Calculator

The Clarus API has a function to compute SIMM sensitivities from many trade description formats, including FpML and CSV trade lists. Results are in ISDA SIMM™ CRIF file format. The function is easily called from popular languages, e.g. Python, R, Julia, C++, and Java. Many related functions are available, see our API documentation. Calling directly […]

ISDA SIMM™ in Excel – Equity Options

We build an IM calculator in Excel for Equity Options under ISDA SIMM™. The methodology builds on the margin methodology for Swaptions, and uses very similar formulae. We cover all forms of IM. This blog is for the Vega and Curvature Margin. There are subtle differences to the implementation for Rates. UPDATE: We now offer free […]

ISDA SIMM™ in Excel – Equity Derivatives

We build an IM calculator in Excel for Equity Derivatives under ISDA SIMM™. The methodology builds on the margin methodology for Rates products, and uses very similar formulae. We cover all forms of IM. This blog is for the Delta Margin. There are subtle differences to the implementation for Rates, mainly around the concept of “buckets” […]

ISDA SIMM™: Concentration Thresholds

Concentration Thresholds are introduced as part of Version 1.2 of ISDA SIMM™ as of 4th February 2017. We must derive our own co-variance matrix between currency pairs in order to implement the new concentration thresholds into our ISDA SIMM Excel calculator. We provide a step-by-step guide that builds on our previous explanations of the model. UPDATE: […]

VM Big Bang – Analysing CSA Amendments

The VM Big Bang deadline is on March 1st 2017. We explain how a CSA governs Variation Margin for OTC Derivatives. ISDA are providing a Variation Margin protocol, allowing industry participants to efficiently amend their bilateral margin agreements (CSAs). We analyse what some of the changes could mean from a pricing perspective. Using a simple example, we highlight why the […]