Blog

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

Mas Nakachi

Why Would You...

Only by replicating each clearer’s requirements, using CCP-certified technology, can you gain true protection against under- or over-funding your margin account and optimize your business appropriately.

Mas Nakachi

Boca Signals Shift Away from SEF Talk

The industry focus is moving away from swap execution facilities and towards the true cost of execution, while dealing with an array of regulatory and capital-related challenges.

Richard White

Pricing Forward CDS, Indices and Options

A brief overview of single-name CDS pricing up to the calculation of the premium and Greeks for options on CDS indices, including a full implementation and comparison with the Bloomberg implementation.

Mas Nakachi

Countdown to Boca: An Industry in Transition

The FIA’s annual conference in Boca next week will provide a snapshot of a market in transition. Regulation and market trends have roiled the delegates’ OTC and listed derivatives businesses. It’s too early to predict who will come out on top – but that won’t stop everyone from trying.

Mas Nakachi

How to Improve FICC Margins

Regulations that require financial institutions to clear standardized OTC derivatives through central counterparties are beginning to weigh on bank P&Ls.

Marc Henrard

Courses on Multi-Curve and Collateral Framework

Since 2007, a new framework has become the standard for interest rate derivative pricing: the multi-curve framework. Another market reality has gained more importance: the collateralization of interbank trades.

Paul McTigue

Breaking Rates 2014: SEFs, corporate bonds and market structure changes

A recap of TabbFORUM’s annual Fixed Income event, Breaking Rates, which set out to examine the challenges that the market structure changes are presenting to the buy-side traders as the Fed breaks rates. Treasuries, credit default swaps, interest swaps, corporate bonds - none are immune to these changes.

Marc Henrard

Updated: Interest Rate Instruments & Market Conventions Guide 2.0

It has been 18 months since we first blogged about the OpenGamma Interest Rate Instruments and Market Conventions Guide. It quickly became the most downloaded document on our website (over 16,000 downloads in 2013 alone). We've now published the updated 2.0 version of the guide.

Soila Patajoki

Oct 17 – Webinar: Bringing OpenGamma to the Cloud

Join William Fellows, Vice President of Research at 451 Research, and three industry experts to discuss the key trends in cloud adoption in financial services, and the essential components of a successful cloud deployment of the OpenGamma Platform.

Richard White

Pricing and Risk Management of Credit Default Swaps

The ISDA CDS Standard Model is fairly ubiquitous in the pricing and risk management of single-name CDSs. A new research paper by OpenGamma explains how the model works and presents a clean-room implementation of the code.