Quant research

OpenGamma has published numerous Quant Research papers over the years.

Many of these refer to the OpenGamma Platform, which is the software product that predates Strata. However, even though the code has changed, the quant research itself is still valid. Note that some research papers have been lost to the mists of time, so the list below is incomplete.

Market conventions

  1. Interest Rate Instruments and Market Conventions Guide
  2. Conventions for Single-Name Credit Default Swaps

Main research series

  1. Adjoint Algorithmic Differentiation: Calibration and implicit function theorem, Nov 2011
  2. Local Volatility, Jan 2012
  3. My future is not convex, May 2012
  4. Equity Variance Swap with Dividends, May 2012
  5. Deliverable Interest Rate Swap Futures: Pricing in Gaussian HJM Model, Sep 2012
  6. Multi-Curves: Variations on a Theme, Oct 2012
  7. Option pricing with Fourier Methods, Apr 2012
  8. Equity Variance Swap Greeks, Aug 2012
  9. Mixed Log-Normal Volatility Model, Aug 2012
  10. Numerical Solutions to PDEs with Financial Applications, Feb2013
  11. Multi-curves Framework with Stochastic Spread: A Coherent Approach to STIR Futures and Their Options, Mar 2013
  12. Algorithmic Differentiation in Finance: Root Finding and Least Square Calibration, Jan 2013
  13. Multi-curve Framework with Collateral, May 2013
  14. Mixed Bivariate Log-Normal Model for Forex Cross, Jan 2013
  15. Piecewise Polynomial Interpolations, May 2013
  16. The Pricing and Risk Management of Credit Default Swaps, with a Focus on the ISDA Model, Sep 2013
  17. Conventions for Single-Name Credit Default Swaps, Dec 2013
  18. Brazilian Swaps, Dec 2013
  19. Inflation: Instruments and curve construction, Jan 2014
  20. Inflation caps and floors, Jan 2014
  21. Convexity adjustment for inflation derivatives, Jan 2014
  22. Forward CDS, Indices and Options, Mar 2014
  23. Tree Option Pricing Model, Apr 2014
  24. Eight ways to strip your caplets: An introduction to caplet stripping, Sep 2014
  25. Smile Interpolation and Extrapolation, Sep 2014

Other papers

  1. The Analytic Framework for Implying Yield Curves from Market Data, Mar 2012
  2. Multiple Curve Construction, Mar 2012
  3. Option Pricing with Fourier Methods, Apr 2012
  4. Bill Pricing, Jan 2012
  5. Bond Pricing, Dec 2011
  6. Interest Rate Futures and their Options: Some Pricing Approaches, Feb 2012
  7. Bond Futures: Description and Pricing, Jan 2011
  8. Forex Options Vanilla and Smile, May 2012
  9. Digital Forex Options, May 2012
  10. Swaption Pricing, Apr 2011
  11. Smile Extrapolation, May 2011
  12. Inflation Instruments: Zero-Coupon Swaps and Bonds, Oct 2011
  13. Hull-White one factor model, May 2012
  14. Swap and Cap/Floors with Fixing in Arrears or Payment Delay, Jun 2011
  15. Replication Pricing for Linear and TEC Format CMS, Dec 2011
  16. Binormal With Correlation by Strike Approach to CMS Spread Pricing, Jun 2011
  17. Libor Market Model with displaced diffusion: implementation, Oct 2012
  18. Portfolio hedging with reference securities
  19. Compounded Swaps in Multi-Curves Framework
  20. Curve Calibration in Practice: Requirements and Nice-to-Haves
  21. Bond’s total return swap
  22. Equity’s total return swap
  23. Sensitivity computation, Jun 2014