• OpenGamma releases Opensimm

    A fully transparent, open source reference architecture of the ISDA®-proposed Standard Initial Margin Model (SIMM) for non-cleared derivatives.

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  • Changes to the OpenGamma Board

    October 27, 2014 - Mark Beeston has been named as Chairman of the OpenGamma Board of Directors. OpenGamma also appointed Cristobal Conde, former CEO of SunGard.

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  • OpenGamma Platform for Margining

    Standardized multi-CCP margin calculations to improve capital efficiency.

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  • OpenGamma wins sell-side tech award

    NEW YORK - April 16, 2014 - OpenGamma has won the '"Best Sell-Side Market Risk Product" category in the 2014 Sell-Side Technology Awards.

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  • Open and Transparent

    The OpenGamma Platform is underpinned by an open architecture and released under an open source license.

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The OpenGamma Platform

Technology and solutions to help you improve capital efficiency in the new world of derivatives clearing

Latest

Blog

Reflecting on IDX

IDX was buzzing this year with some particularly good sessions looking at industry paradigm changes in post trade derivatives, such as The Future of the Intermediary. Participants on this panel discussed the shift of focus for FCMs away from operational cost and towards capital cost, and the difference between non-differentiating clearing costs such as connectivity to CCPs, and client-facing activities where FCMs provide their core value.

IDX Outlook: Focus on Capital Inefficiencies

Inaccurate OTC derivatives margining is diverting cash away from revenue-generating areas of banks in the form of excess collateral, at the very time when capital is at its most scarce. Derivatives margining is one of the more pressing challenges that the industry should seriously consider at the FIA/FIA Europe International Derivatives Expo (IDX) on June 9-10.

We hope you’ll come and visit us at IDX to discuss some of the solutions we’ve built to address this ongoing industry requirement.

Research papers

  • Smile Interpolation and Extrapolation

    In this paper, we review techniques for smile interpolation and extrapolation, and compare numerical results across the different methodologies. Examples of smile interpolation include spline interpolations, mixed lognormal model and SABR model together with various volatility approximation formulas. For smile extrapolation, we introduce two methods: shifted lognormal model and elementary-function-based approach.

  • An Introduction to Caplet Stripping

    This paper is neither a primer on vanilla interest rate derivatives or numerical optimisation. It is, as its name suggests, an introduction to caplet stripping, i.e. inferring caplet/floorlet prices from the market prices of interest rate caps and floors. This of course required some numerical optimisation. We present several techniques (of different levels of sophistication) to achieve our goal.