Insights, tips and industry commentary from the team behind the world’s first production-grade open source risk management platform.

Marc Henrard

by Marc Henrard on

16 Feb 2017

Strata And Multi-curve: Interpolation And Risk

In this instalment of our blog series focusing on the multi-curve framework in OpenGamma Strata library, we will discuss the impact of interpolation on forwards and on the delta risk. The goal of the blog is to show a couple…

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Marc Henrard

by Marc Henrard on

25 Nov 2016

Strata And Multi-curve: Curve Calibration And Bucketed PV01

Introduction Over the last few years, the pricing of vanilla derivatives has become more complex than ever before. This is the result of the basis increases, in particular OIS vs. LIBOR, and the generalisation of Variation and Initial Margins. At…

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Marc Henrard

by Marc Henrard on

18 Sep 2016

OpenGamma And SIMM Provide Value To Market Participants

At the start of September, the mandatory bilateral margin rules for derivatives came into force in the US, Canada and Japan. Even if some jurisdictions decided to postpone their go-live, daily initial margins calls are now a reality for the…

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Marc Henrard

by Marc Henrard on

7 Jul 2016

Comparing SIMM Vs. CCP Margin Delivers Unexpected Results

On 9th June, it became clear that the European Union would delay the implementation of the mandatory bilateral margin. See for example the Risk article or the Bloomberg article. But for the rest of the world, the 1 September 2016 date is still…

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Marc Henrard

by Marc Henrard on

5 Jul 2016

25% Increase In Cleared Swaps Initial Margin In The 5 Days Since Brexit

On Tuesday, 28th June, I posted a blog post about the impact of Brexit on OTC swaps cleared margin. We anticipated that the impact of Brexit would progressively increase in magnitude over the subsequent days. This post shows results from the…

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Marc Henrard

by Marc Henrard on

28 Jun 2016

The Impact Of Brexit On Your Next Cleared Swaps Margin Call

In the run-up to the Brexit vote, many firms trading OTC interest rate swaps were understandably worried about the impact of short term market volatility on the margin that they would need to post to their clearing houses. Our aim…

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Marc Henrard

by Marc Henrard on

26 Nov 2015

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…

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Marc Henrard

by Marc Henrard on

29 Oct 2015

New OpenGamma Research With UCL Supports Practical Solutions For MVA

As the market is well aware, initial margin will be charged on both cleared and non-cleared OTC (for large dealers by Sep 2016). This ties up large amounts of high quality collateral which in turn creates a significant funding and…

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