• 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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The OpenGamma Platform

Technology and solutions to help you improve capital efficiency in the new world of derivatives clearing



Your questions answered: new Q&A available on our MVA research

We’ve received a number of follow-up questions on the back of the research paper on MVA we published last month in collaboration with University College London.

We’ve provided answers to the questions below, and will continue to update with answers to your questions as they come in.  Please send your questions to Marc Henrard.

Results of our margining survey

In our last newsletter we asked readers to participate in a survey on margining. This produced some interesting results in regard to trends we see gaining momentum in the market in the near future: the rise of lifetime initial margin calculations, and an increasing need for independent CCP model implementation.

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.