LONDON 6 April 2016 – OpenGamma is pleased to announce the release of our new open source risk analytics library, which is already being used in production by a US hedge fund for the fixed-income analytics underlying their quant-enhanced investment trading strategies.
The hedge fund’s Director of Research says: “OpenGamma were the only ones to provide a library with market standard analytics with full source code transparency and APIs we could use to seamlessly embed the analytics within our custom infrastructure. OpenGamma understands that these types of models should be standard and they make the code externally consumable at every level and fully open to self-evaluation. We have not encountered any other vendors who met these requirements.”
The risk library, called Strata, provides state-of-the-art market standard analytics, including algorithmic differentiation throughout, for cash and derivative products. The analytics have been fully validated against all CCP models.
Strata is released as a Java library (for developers) and is also accessible through an Excel add-in (for business users). The open source code is available on GitHub (https://github.com/OpenGamma/Strata), including developer examples. Comprehensive documentation is available on the Strata project website (http://opengamma.github.io/StrataDocs//).
“We are in an unprecedented time in the fixed-income markets, with the ‘new normal’ of negative interest rates and bank balance sheet contraction making alpha-generation in this asset class exceedingly difficult,” says Mas Nakachi, CEO of OpenGamma. “In parallel, given the trend towards simplification and standardization of fixed income, there is a tremendous opportunity for the hedge fund industry to benefit from standardized, open source analytics, which provide full transparency and cost efficiency.”
A case study illustrating how the hedge fund used OpenGamma’s analytics to get their strategy up and running is available at http://bit.ly/25KtLGN.
OpenGamma helps financial services firms evaluate, understand, and manage market risk in an open, transparent manner. Our software and services enable firms to optimize their businesses in the evolving OTC markets, improving capital efficiency and balance sheet management.
Used by buy-side and sell-side firms, exchanges and CCPs, we bring a new standard of transparency to the industry. We aim to help our customers gain more insight into their underlying risk exposures, better assess the true cost of trading, and respond more rapidly to the ever‐evolving regulatory landscape. For more information, please visit http://www.opengamma.com.