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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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We are currently preparing for a major new release. You can follow our latest developments on GitHub. If you are a commercial customer, please contact your account manager for the latest version relevant to your installation.



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Forward CDS, Indices and Options

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.

More quant research…


New Date and Time API JSR-310 approved to be part of Java JDK 8

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.

Pricing Brazilian Swaps

27 January 2014

Pricing Brazilian swaps in a multi-curve framework.

Deriva - Automating Algorithmic Differentiation

28 October 2013

Introducing Deriva, a Clojure implementation of Algorithmic Differentiation, designed to automate the tedious process of coding AD manually.

Loading Trades into OpenGamma

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.

Announcing OpenGamma Platform 2.1

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.

For commercial enquiries, please contact OpenGamma.

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