Video: What you need to know about calculating SIMM
-Calculating sensitivities for SIMM is one of the toughest challenges created by uncleared margin rules. Myself and our Head of…
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…
