  This paper presents how to 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 (SIMM). The technique is benchmarked against the computation of dynamic
sensitivities obtained by using pricing functions like the ones found in risk
engines. We obtain high accuracy and computational gains for FX swaps and
Spread Options.
