May 17th, 2019, 3:59 pm
working on implementation of sensitivity calculation for SIMM for wave 4 & 5. Has anyone come across guidance for OIS-discounted IBOR swaps. I.e. in order to generate IBOR-sensitivities for the floating leg, do practitioners generally shock the Discounting curve, when deriving the shocked forecast curve? Else is there a forum where technical q's on SIMM are discussed?