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 note is dedicated to the impact of collateral on the multi-curve framework. The pricing formula in presence of collateral are described in a generic way encompassing several financial realities. The multiple currency collateral case is also described, including the convexity adjustment required. The pricing of STIR futures in this framework is analysed in detail.
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.
16 July 2013
We are pleased to announce the 2.0 release of the OpenGamma Platform.
20 December 2012
We are pleased to announce the 1.2.0 release of the OpenGamma Platform with a completely rebuilt web GUI, extended analytics coverage (credit default swaps, extended futures and commodity futures/options support) and Maven plug-ins and build support.