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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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    OpenGamma provides real-time market risk management technology for financial institutions to improve analytics calculation and delivery to front-office and risk users

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The OpenGamma Platform

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

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Blog

Eight Ways to Strip Your Caplets: An Introduction to Caplet Stripping

A new research paper by the OpenGamma Quantitative Research team provides an introduction to caplet stripping, and presents multiple techniques (of different levels sophistication) to inferring caplet/floorlet prices form the market prices of interest rate caps and floors.

American options on futures: How American are they?

Less than one month to go until the Ryder Cup, one of the major American-European sporting rivalries. Meanwhile, we are in a year in which futurization is making its way into the standard dictionaries. Bearing these occurrences in mind, it seems an appropriate moment to discuss the differences between American and European futures options.

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.