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by ankitabhu2cqf
April 11th, 2019, 2:41 pm
Forum: Trading Forum
Topic: efficient ways to reduce IM for swaptions
Replies: 0
Views: 9802

efficient ways to reduce IM for swaptions

one of the ways to reduce initial Margin on a swaption  is to  to reduce delta through cleared derivatives or vanilla swaps
( IM as per SIMM model from isda has high delta weight age) .
but are there more efficient ways (maybe synthetic ?)