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  • What's different about OpenGamma?

    We are a leading provider of derivatives risk analytics solutions to CCPs, Banks, and Buy-side firms.

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  • The Economics of Open Source

    Flexible. Vendor-neutral. Cost-effective.

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  • Duke's Choice Awards

    “OpenGamma’s Strata wins Oracle 2016 Duke’s Choice Award”

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    Risk as a Service allows our customers to deploy our solutions in the cloud and be live within 24hrs 

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Why OpenGamma?

We are uniquely positioned to help you reduce costs or capital in your derivatives business.

  • We understand derivatives pricing and risk management
  • We are independent thinkers and innovators 
  • We embrace technology, and aren’t weighed down by it



Gain visibility to verify your Initial Margin requirement

Within UK retail banks, the treasury function has been challenged by mandatory central clearing obligations for OTC derivatives.

In the context of corporate governance and fiduciary re

The upcoming threat to the buy-side of CSA repapering

Let’s rewind back to 2008. OTC derivative transactions were routinely discounted using Libor, while collateral was actually funded at an overnight rate. At that time there was no issue with doing this as the spread between Libor and OIS was negligible. As we now know, this didn’t remain the case.

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.