How to Use SIMM Lib for ALL Asset Classes to get Initial Margin


#1

Hi All,

We have our code in C# and we want to use OpenGamma SIMM Open Source Lib to Calculate Initial Margin for all asset classes. Please answer our below questions

  1. How to use SIMM lib as it is in Java and we have .Net C# based project ?

  2. What are input files and their formats ? Basically what are columns used in the csv file used as Input. I say in github (https://github.com/OpenGamma/OpenSIMM) that there are some 8 files. But not very clear on it. SO asked it

  3. How to use OutPut from this Lib ? Is it a simple value which is like added Initial Margin for all asset classes. ??

Please let us know , these will be life saving answers.

Thanks
Milind


#2

Hi Milind,
This thread detailed how another forum user was able to use ikvm to compile Strata to C#. You should be able to do something similar with OpenSIMM.

HOWEVER! OpenSIMM is no longer an active project. As stated on the website

Since OpenSIMM was released, OpenGamma has continued to work with the industry to implement the latest versions of the SIMM standard. Due to ISDA licensing restrictions we are unable to release these later versions as open source software, but they are available commercially from OpenGamma.

ie. using the open source OpenSIMM project won’t really help you, as the methodology is not the latest one approved by ISDA. And we can’t publish the updated methodology as open source, as ISDA’s license doesn’t allow it.

If you want to contact us about our SIMM commercial offering, please contact info@opengamma.com. Note that our commercial offering is available as a web service, so there is no difficulty in calling it from C#.

thanks
Stephen


#3

This topic was automatically closed 14 days after the last reply. New replies are no longer allowed.