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Standardized multi-CCP margin calculations to improve capital efficiency.
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 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
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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.