Before revision: We present an accurate and computationally efficient method , based on Chebyshev Spectral Decomposition, to stochastically compute the Initial Margin of financial products within a Monte Carlo simulation , via sensitivities simulation.
After revision: We present two methods , based on Chebyshev Spectral Decomposition, to stochastically compute the Initial Margin of financial products within a Monte Carlo simulation , via sensitivities simulation.