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

21 Jun 2017

Elephant In The (Swap Trading) Room: Exposing Dealer Trading Costs For Cleared And Uncleared Swaps

Blog written By Dr. Marc Henrard, Head of Quantitative research at OpenGamma and visiting professor at University College London. Marc is the acclaimed author of Interest Rate Modelling in the Multi-Curve Framework as well as Algorithmic Differentiation in Finance Explained….

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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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Maxime Jeanniard

by Maxime Jeanniard on

28 Oct 2016

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…

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Ken Wong

by Ken Wong on

13 Oct 2016

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 responsibility, treasury managers feel obligated to have robust control around independent verification of the…

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Maxime Jeanniard

by Maxime Jeanniard on

26 Sep 2016

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…

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Stephen Colebourne

by Stephen Colebourne on

26 Sep 2016

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…

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Alp Oergen

by Alp Oergen on

20 Sep 2016

EMIR Category 2 – OpenGamma Provides Analysis For Optimal Margin Outcome

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…

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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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Stephen Colebourne

by Stephen Colebourne on

16 Sep 2016

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. Taking two years to develop, Strata provides a stable, lightweight and easy-to-use library for market risk, written entirely in Java. It has been developed to provide…

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