Open-source risk management and analytics software vendor OpenGamma has released version 2.0 of its OpenGamma risk and analytics platform, to support the trading and risk analysis activities of front-office traders, quantitative analysts, portfolio managers and risk professionals.
The new release, which was unveiled yesterday, July 15, includes expanded coverage of listed products and credit derivative asset classes, as well as enhanced stress testing capabilities and general performance improvements, officials say.
Specifically, to support users' real-time risk analytics activities, OpenGamma has added data covering credit default swaps and CDS options on single-name issues and indexes from market data vendor Markit, and data on high-volume listed futures and options on currencies and commodities from low-latency data provider Activ Financial.
"On the Activ side, we are seeing increased client demand for support for high-volume, high-frequency listed products; and on credit products, we have been doing work in the credit space specifically for our hedge fund clients, who are looking at increasing their credit activity... and adding support for Markit was a prerequisite for that," says OpenGamma chief executive Mas Nakachi.
In addition to supplementing its datasets, the vendor has also added enhanced stress-testing capabilities to enable firms to simulate more complex user-defined scenarios to meet Dodd-Frank, EMIR, and Basel III capital requirements. To complement existing languages and tools such as R, MATLAB and Excel, OpenGamma has added a new Groovy script-based stress testing domain-specific language.
"With regards to manipulating market data and injecting more complex scenarios into the engine, people are finding that traditional stress testing doesn't capture the dynamics of what's going on in the market... [so] we've added support to reflect that market volatility," Nakachi adds.
Finally, in response to ongoing electrification of markets that were previously not traded electronically, OpenGamma has made a number of performance and memory improvements to the risk platform, including increasing throughput, though comparative performance figures were not available before deadline.
"In the US, Dodd-Frank is bringing in a mandate to clear all clearing-eligible products. What that requires is calculations of different variations of value-at-risk depending on the clearinghouses -- and that relates to performance," Nakachi says.
"VAR is computationally intensive and historically something firms did once a day.... Now they are increasingly being asked to calculate it many times a day, or close to real time in some cases. So that's a key thing going forward in terms of the development of the OpenGamma platform. Those are the sorts of areas we are being asked by clients to work on," he adds.
In fact, Nakachi says version 2.0 of the platform should be viewed as a "stepping stone" towards significant developments at the vendor, scheduled for the third quarter of this year, which will be driven primarily by market structure changes such as electronification and "futurization" of swaps, which will see swaps traded on exchange-like swap execution facilities and subject to clearing and reporting requirements.