• 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



Countdown to Boca: Spotlight on Standardization

It’s that time of year again. The time when many key decision makers in the derivatives industry gather in Boca Raton for the annual FIA conferences. Unlike last year when the key areas of executive focus were on the electronic trading of swaps and associated swap execution facilities (SEFs), this year we expect the focus to be far more on cost cutting.

Margin Moves to the Center: Spotlight on Initial Margin

Mandatory clearing and the prospect of non-cleared swaps moving into a fully-margined environment are starting to weigh heavily on bank P&Ls and available capital.

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.