• New: Our hosted margining service

    Optimise your margin through our monthly subscription

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  • Support for Eurex Prisma Released

    Our award-winning margin calculation solution now supports Eurex ETD, OTC, and Cross Margining.

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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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Why OpenGamma?

An open, real-time alternative to outdated risk management technology

Latest

Blog

Introducing OpenGamma’s next-generation market risk library

The OpenGamma Platform was launched in 2011 to provide standardised models and market risk functionality to the industry, as open source software. It was designed to support a range of use-cases, and many people we engaged with saw its potential in solving both buy-side and sell-side risk requirements.

The deadline for CAT 2 frontloading is fast approaching: have you quantified the impact of clearing?

The frontloading deadline for Category 2 OTC clearing (21 May) is just around the corner, prompting many to start anlaysing the most cost-effective way to cope with this new requirement. 

As the provider of margin calculation software to both CCPs and Tier 1 banks, we are uniquely placed to help asset managers prepare for OTC Clearing. Here’s a great example of how we have just helped one of our investment management clients to work out the true cost of clearing.

Research papers

  • Estimation of Future Initial Margins in a Multi-Curve Interest Rate Framework

    We propose tractable stochastic models for the dynamical estimation of initial margins. We determine initial margins at future points in time by computing a risk measure of the modelled price increment over a margin period of risk. As an example, we produce the initial margin process for interest rate swap clearing where we assume that the swap price process is driven by a two-factor multi-curve interest rate model that exhibits flexibility and good tractability.

  • Forward IM for CCP's

    The objective of Forward Initial Margin calculations is to provide clearing members with an indication of the risk and funding costs associated with cleared trades. The requirement for Forward IM is driven by the realisation that Initial Margin needs to be funded for the entire life of the trade and that, by nature, the Initial Margin calculations account for risk offsets with trades of different maturities that will roll off the portfolio. In this paper, we describe how forward IM for CCP's can be estimated and give examples with different approaches to the forward, and different CCPs.