OpenGamma releases Opensimm
A fully transparent, open source reference architecture of the ISDA®-proposed Standard Initial Margin Model (SIMM) for non-cleared derivatives.
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.
OpenGamma Platform for Margining
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.
Open and Transparent
The OpenGamma Platform is underpinned by an open architecture and released under an open source license.
The OpenGamma Platform
Technology and solutions to help you improve capital efficiency in the new world of derivatives clearing
An open, real-time alternative to outdated risk management technology
by Marc Henrard
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.
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.