Margin Period of Risk
Regulatory and internal model validation services from CompatibL
ClMprExposureTestSettingsData.cs
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ClMprExposureTestSettingsData.cs. Any downloads from this site are subject to ModVal license.
Class ClMprTestSettingsBuilder
Test settings for the MPR exposure model.
Property PillarsType
Type of interpolation pillars used for MPR exposure tests.
public ClMprExposureTestPillarsType PillarsType { get; set; }Property SubtractInitialMarginFromExposure
Subtract a simplified estimate for the initial margin from exposure.
public ClBool SubtractInitialMarginFromExposure { get; set; }