Analytics Library

A cutting-edge, production-quality analytics library, released under an open source license. The OpenGamma analytics library covers a range of asset classes and provides a comprehensive set of analytic measures and numerical techniques.

Use Ours or Your Own

The OpenGamma Platform is designed to work with proprietary, third-party, or OpenGamma's own cutting-edge analytics library. With a top-notch quantitative analysis and development team, we are producing and maintaining a modern, production-quality analytics library capable of satisfying most complex trading environments. The system is fully metadata-driven, and it allows you to configure any number of analytic libraries to be used simultaneously.

Instrument Coverage

OpenGamma's asset class coverage is continuously growing. The Platform currently supports:

Fixed Income - Bonds, Bills, Bond Futures, Bond Future Options, Cap/floors, FRAs, OIS
Interest Rate Products - IR Swaps, IR Swaptions, IR Swaptions, IR Futures, IR Future Options
Inflation
Equities - Equity Options, Equity Futures, Equity Future Options, Equity Index Options, Equity Variance Swaps
Foreign Exchange - FX Forwards, FX Options, FX Futures, FX Variance Swaps
Credit Derivatives - CDS, CDS Indices
Commodities

Full Asset Class Coverage

Curve Construction

Flexible curve building features (multi-curve/OIS discounting, building of multiple curves simultaneously, interpolated curves, spread curves above another curve, functional curves, etc.)