Open Risk Calculation Engine
Drill down and understand your risk in detail with the cutting-edge, real-time calculation engine. Built from scratch to support the most complex of requirements, the OpenGamma Calculation Engine provides all the real-time and batch risk capabilities required by risk managers and front-office traders.
Live Risk and Streaming Analytics
When connected to a live source of market data, the OpenGamma Platform will stream live portfolio-wide analytics as fast as your servers can handle.
- See portfolio-wide exposures and risk metrics as the market moves.
- Monitor a universe of securities for trade identification.
- Set up alerts when intraday PnL or risk exceed thresholds.
Pre-Trade and Ad-Hoc Calculations
- Know what your risk will be before you book the trade.
- Share strategies between traders, management, and risk managers.
- Have confidence your trading tools will give the same numbers as your overnight reports.-
Stress Tests and Scenario Analysis
Comprehensive support for stress testing and custom scenario analysis:
- Perturb any individual market data input manually or incrementally (e.g. 10% shift).
- Control any parameter of calculation individually, including market data, portfolio, and valuation timestamps.
- Works with our near-real-time streaming risk - run stresses ticking live against the market.
Batch Report Capabilities
The heart of traditional computational finance, overnight, snapshot, and weekly/monthly reports are critical tools for understanding your portfolios. The OpenGamma Platform includes comprehensive support for batch calculations and reporting.
- Flexible job control and risk run specifications for complete control over batch calculations.
- Destructive and non-destructive restatement of any calculated data point.
- Batch risk database designed for cubes/pivot tables and common reporting tools.
Calculate New Measures on New Securities Intraday
Developers and quants can plug in support for new pricing models and whole new security types without taking the system down - ideal for structured products and exotic derivatives.