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

Strata and multi-curve: Curve calibration and bucketed PV01


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 the same time, the market has moved to increased standardisation.

Maxime Jeanniard

CSA Changes: Do You Really Understand the Impact?

The enforcement of Daily Variation Margin (VM) exchange on uncleared derivatives for the majority of counterparties comes into effect within five months. With the March 2017 deadline fast approaching in the US, Canada, and Japan and a number of market participants’ current CSAs being non-compliant (in terms of the March rules), the industry has embarked on a wide-scale CSA renegotiation process. The importance of this cannot be overstated. 

Ken Wong

Gain visibility to verify your Initial Margin requirement

Within UK retail banks, the treasury function has been challenged by mandatory central clearing obligations for OTC derivatives.

In the context of corporate governance and fiduciary re

Maxime Jeanniard

The upcoming threat to the buy-side of CSA repapering

Let’s rewind back to 2008. OTC derivative transactions were routinely discounted using Libor, while collateral was actually funded at an overnight rate. At that time there was no issue with doing this as the spread between Libor and OIS was negligible. As we now know, this didn’t remain the case.

Stephen Colebourne

Strata Wins Big at JavaOne 2016

At the JavaOne 2016 conference in San Francisco, Strata, the open source market risk library from OpenGamma, won the 2016 Duke’s Choice Award. This recognises the quality of the software, the open source nature and how it makes best use of Java SE 8. I attended JavaOne to collect the award on a cool and breezy evening in Duke’s Cafe:


Imagine you work for a bank that offers OTC derivatives clearing services to a range of firms including investment managers, such as multi-strategy, pension funds and hedge funds, and other smaller banks.Firms that have chosen you as their clearing member will very likely look to you to provide them with services including analysis that quantifies and optimises the initial margin they must post.

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 main derivatives dealers.

Stephen Colebourne

Strata - The open source library for market risk analytics

Version 1.0 of Strata, the open source market risk library from OpenGamma, was released on 15 July.

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 a major deadline.

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 period from 23rd to 29th June, and shows how the impact has now hit 25% for long-dated swaps change over this period. The analysis assumes the same 30Y GBP swap position as the previous post.