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NaserVi Follow

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ForwardInitialMargin Public

Implementation of Forward Initial Margin Calculation with ISDA SIMM for MVA. This Project is based on finmath-lib: https://github.com/finmath/finmath-lib and makes use of Adjoint Algorithmic Differ…

margin initial mva simm

Java 6 2 Updated Jul 12, 2018
stochastic-curves Public

Java Updated Sep 30, 2017

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