Tensoring dynamic sensitivities and dynamic initial margin

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Mariano Zeron and Ignacio Ruiz use Chebyshev tensors to compute dynamic sensitivities of financial instruments within a Monte Carlo simulation. Dynamic sensitivities are then used to compute dynamic initial margin as defined by Isda (standard initial margin model). The technique is benchmarked against the computation of dynamic sensitivities obtained by using pricing functions as found in risk engines. Numerical tests were done on foreign exchange swaps and spread

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