Strata and multi-curve: Interpolation and risk
-In this instalment of our blog series focusing on the multi-curve framework in the OpenGamma Strata library, we will discuss…
Strata and multi-curve: Curve calibration and bucketed PV01
-Introduction Over the last few years, the pricing of vanilla derivatives has become more complex than ever before. This is…
Elephant in the (Swap Trading) Room: Exposing dealer trading costs for cleared and uncleared swaps
-Blog written By Dr. Marc Henrard, Head of Quantitative research at OpenGamma and visiting professor at University College London. Marc…
OpenGamma and SIMM provide value to market participants
-At the start of September, the mandatory bilateral margin rules for derivatives came into force in the US, Canada and…
Comparing SIMM vs. CCP margin delivers unexpected results
-On 9th June, it became clear that the European Union would delay the implementation of the mandatory bilateral margin. See…
