Question as above regarding ISDA standard initial margin model. Are there any technical limitations to calculate margin for various risk classes (i.e. wait for end of tay trading book data)?
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1$\begingroup$ When we implemented the model, we used the EOD data where also used by risk. Best for reconciliation, no need to store two sets of data etc. $\endgroup$– KermittfrogCommented Jul 1, 2022 at 8:28
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$\begingroup$ @Kermittfrog Thanks. Is the above specified anywhere ? I've looked into isda.org/a/owEDE/risk-data-standards-v1-36-public.pdf and isda.org/a/CeggE/ISDA-SIMM-v2.4-PUBLIC.pdf but found nothing worthwhile. ISDA has a nice open source CDS pricing tool (ISDA CDS standard model). Is there something similar for simm? $\endgroup$– BythonCommented Jul 1, 2022 at 14:10
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1$\begingroup$ For non-commercial use, there is an implementation available here: github.com/AcadiaSoft/simm-lib. IMHO, you should try to match the timing of 'your' SIMM calculation as good as possible with the timing of your counterparty. $\endgroup$– KermittfrogCommented Jul 4, 2022 at 6:09
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- End of Business day(COB): allows firm to take full day's market data.
- COB + X : allows to process data from exchanges
- COB + 1 :Clearinghouses may post IM next day in early hours.
Commonly used is COB +1/+2. For global trades, the IM can be recalculated at start of next day.
