• 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, to its board.

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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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  • Real Time

    Drill down and understand your risk in detail with our cutting-edge, real-time calculation engine

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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

What's a Chief Innovation Officer?

Yesterday we announced that we were making some changes to the OpenGamma board: Mark Beeston replaces me as Chairman, and Cris Conde joins the board as an independent non-executive director. I will remain an active member of the board, and take on a new role of Chief Innovation Officer.

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.

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.