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

Kirk Wylie

The Full Story of the OpenGamma/Eurex Clearing Partnership

How smarter IM calculation can minimize capital allocation

A common challenge for our customers is the substantial amount of capital consumed by the clearing process. A particular frustration is the funding costs associated with posting Initial Margin to the clearing houses for the entire life of the trades.

Technology for our Time

One of the benefits of being a relatively new vendor in the fintech space is that customers and prospects can be refreshingly open with their views about the status quo. They frequently tell us that traditional vendors are still not meeting the industry’s needs, which is perplexing as it has always seemed pretty clear to us how our sector needs to adapt – in fact, we’ve built our whole business around it.  

Reflecting on IDX

IDX was buzzing this year with some particularly good sessions looking at industry paradigm changes in post trade derivatives, such as The Future of the Intermediary. Participants on this panel discussed the shift of focus for FCMs away from operational cost and towards capital cost, and the difference between non-differentiating clearing costs such as connectivity to CCPs, and client-facing activities where FCMs provide their core value.

IDX Outlook: Focus on Capital Inefficiencies

Inaccurate OTC derivatives margining is diverting cash away from revenue-generating areas of banks in the form of excess collateral, at the very time when capital is at its most scarce. Derivatives margining is one of the more pressing challenges that the industry should seriously consider at the FIA/FIA Europe International Derivatives Expo (IDX) on June 9-10.

We hope you’ll come and visit us at IDX to discuss some of the solutions we’ve built to address this ongoing industry requirement.

Countdown to Boca: Spotlight on Standardization

It’s that time of year again. The time when many key decision makers in the derivatives industry gather in Boca Raton for the annual FIA conferences. Unlike last year when the key areas of executive focus were on the electronic trading of swaps and associated swap execution facilities (SEFs), this year we expect the focus to be far more on cost cutting.

Margin Moves to the Center: Spotlight on Initial Margin

Mandatory clearing and the prospect of non-cleared swaps moving into a fully-margined environment are starting to weigh heavily on bank P&Ls and available capital.

Kirk Wylie

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. In this post I wanted to provide a few insights into what the new title actually means.

Richard White

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.

Marc Henrard

American options on futures: How American are they?

Less than one month to go until the Ryder Cup, one of the major American-European sporting rivalries. Meanwhile, we are in a year in which futurization is making its way into the standard dictionaries. Bearing these occurrences in mind, it seems an appropriate moment to discuss the differences between American and European futures options.