The OpenGamma Platform is a unified system for front-office and risk calculations for financial services firms. It combines data management, a declarative calculation engine, and analytics in a single comprehensive solution.
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This paper is a followup to The Pricing and Risk Management of Credit Default Swaps, with a Focus on the ISDA Model. Here we show how to price indices (portfolios of CDSs) from the calibrated credit curves of the constituent names, and how to adjust those curves to match the market price of a index (basis adjustment). We then show how to price forward starting single-name CDSs and indices, since these are the underlying instruments for options on single-name CDSs and indices. The pricing of these options is the main focus of this paper. The model we implement for index options was first described by Pedersen, and we give full implementation details and examples. We discuss the common risk factors (the Greeks) that are calculated for these options, given various ways that they may be calculated and show results for some example options. Finally we show some comparisons between our numbers and those displayed on Bloomberg’s CDSO screens.
5 March 2014
Java JDK 8 will contain a new date and time API, developed via the Java Community Process under the JSR-310 project.
27 January 2014
Pricing Brazilian swaps in a multi-curve framework.
28 October 2013
Introducing Deriva, a Clojure implementation of Algorithmic Differentiation, designed to automate the tedious process of coding AD manually.
15 October 2013
So you’ve downloaded the platform, installed the software and started up the server for the first time. Now you want to be able to import your data so that you can start analysing some real world trade data. This blog post takes a look at several tools that make it easy for you to import your trades in a quick and simple way.
10 October 2013
OpenGamma Platform 2.1 has been released and is filled to the brim with new features and enhancements, including our new multi-curve framework, improved asset class coverage, and programmatic support for historical scenarios.