OpenGamma Unveils 1.0 Platform Release

UK-based open-source analytics and risk management software provider OpenGamma is this week releasing version 1.0 of its OpenGamma platform, providing users with the ability to view risk figures alongside the market data used in the calculations, as well as integration of the R programming language, Tullett Prebon data and its open-source Bloomberg module.

OpenGamma delayed its release of version 1.0 following Bloomberg's decision to open-source its data-distribution API, in order to include its Bloomberg module with the platform (IMD, Feb. 13), says OpenGamma chief executive Kirk Wylie. The Bloomberg adapter lets users instantly connect the OpenGamma platform to their Bloomberg terminal to see live pricing and risk on their existing portfolios.

OpenGamma also presents users with live risk calculations, including delta and VAR, alongside the real-time market data those figures were derived from, enabling users to quickly see, for example, the impact of a stock's movement on their exposure. Users can then refine their queries based on this to gain a better understanding of what is happening with their portfolio.

Version 1.0 of the platform also includes dynamic aggregation and filtering capabilities, so if a portfolio or risk manager notices the delta on a stock increasing across several traders, he can quickly switch his view to group the calculations by the underlying stock-rather than their usual view by trader-and then filter his view to only look at the strike or expiry periods being affected, says Wylie. "Instead of having to do a forensic analysis of a huge portfolio across a number of traders, now you can quickly drill down to the exact bits that help you understand what's going on so you can decide if this is just a situation to be aware of, or if this is a situation where you've got 10 traders trading the same stock who don't realize they're increasing the firm's net exposure, so you have to rein that in," he says.

In addition, the entire OpenGamma platform can be integrated with the R programming language, which will appeal to risk managers and quant analysts, who can then run simple R commands and get a snapshot of their entire market data universe or full time-series of all the data related to a yield curve.

The vendor is also expanding its suite of data adapters with the addition of over-the-counter pricing data from Tullett Prebon's proprietary Single Unified Record Feed (SURF). The vendor is also offering customers the option of accessing Tullett Prebon's historical and live ticking data via OpenGamma, so that they can connect to the data with a single line of code, which is of most appeal to smaller hedge funds that may not have the resources to set up and maintain their own connection to the datafeed, says Wylie.