METHOD AND SYSTEM FOR CALCULATING AND PROVIDING INITIAL MARGIN UNDER THE STANDARD INITIAL MARGIN MODEL

摘要

A Standard Initial Margin Model (SIMM) is calculated and provided as an overall initial margin for non-cleared derivatives. In certain embodiments, using at least one computing device, information associated with a plurality of risk classes is acquired, and a delta margin, a vega margin, and a curvature margin for each risk class based on the acquired information associated is determined. The at least one computing device calculates initial margin for each risk class by summing the respective delta margin, the respective vega margin, and the respective curvature margin. The at least one computing device determines whether product classes will be used in calculating the overall initial margin, calculates the overall initial margin using an equation based on the determination, and provides the overall initial margin. The amount of the initial margin call for the underlying derivatives contract may then be generated based on the calculated initial margin.

主权项

1. A method for calculating and providing an overall initial margin for non-cleared derivatives using a Standard Initial Margin Model (SIMM), the method comprising the acts of:
acquiring, by at least one computing device, information associated with a plurality of risk classes; determining, by the at least one computing device, a delta margin, a vega margin, and a curvature margin for each risk class based on the acquired information associated with the plurality of risk classes; calculating, by the at least one computing device, initial margin for each risk class by summing the respective delta margin, the respective vega margin, and the respective curvature margin; determining, by the at least one computing device, whether product classes will be used in calculating the overall initial margin; calculating, by the at least one computing device, the overall initial margin using an equation based on the determination; and providing, by the at least one computing device, the overall initial margin.