https://github.com/yarmenti/MSRA
Tip revision: 115c65029072f8d7b5a6b5803ad95362c81d9506 authored by Yannick ARMENTI on 23 March 2017, 08:42:27 UTC
Code for revision
Code for revision
Tip revision: 115c650
File | Mode | Size |
---|---|---|
Gaussian cases | ||
input_files | ||
lib | ||
results | ||
transformed_input | ||
01. Positions and UDL extracter.ipynb | -rw-r--r-- | 18.4 KB |
02. Random losses generator.ipynb | -rw-r--r-- | 83.7 KB |
03. Solver loss1 SLSQP.ipynb | -rw-r--r-- | 6.4 KB |
04. Solver loss3 SLSQP.ipynb | -rw-r--r-- | 9.0 KB |
05. Initial Margins.ipynb | -rw-r--r-- | 3.1 KB |
06. Default fund.ipynb | -rw-r--r-- | 3.3 KB |
10. Correlation matrices.ipynb | -rw-r--r-- | 164.6 KB |
11. Initial margins.ipynb | -rw-r--r-- | 293.7 KB |
12. Losses allocations.ipynb | -rw-r--r-- | 164.9 KB |
13. Diff l1.ipynb | -rw-r--r-- | 167.6 KB |
14. Gross positions.ipynb | -rw-r--r-- | 201.7 KB |
15. Volatilities and risks.ipynb | -rw-r--r-- | 134.0 KB |
16. Assets values and Traded volumes.ipynb | -rw-r--r-- | 117.9 KB |
LICENSE | -rw-r--r-- | 1.1 KB |
README.md | -rw-r--r-- | 433 bytes |