Risk of a portfolio


#1

How suitable is OpenGamma for calculating the risk of a portfolio containing stocks, futures and options on stocks, commodities, currencies and bonds? None of the instruments / securities are OTC.


#2

Hi,

OpenGamma is specially well suited for the types of instruments you want to have in your portfolio. You would be able to generate top level cross asset risk aggregate views or drill down all the way to the individual trade in real time. For the volatility products you would be able to use a variety of models from simple to more advanced ones side by side and compare the different results to help you decide which one fits your needs better. I would suggest having a detailed look at what bonds you would like to trade. We support many of the standard features and conventions but the possibilities are endless, so maybe some customization might be required for a particular ISIN. In terms of importing the trades into the system, since all the instruments you trade are listed it should be quite easy.

Joan


OpenGamma | joan@opengamma.com | London | New York City
Tel: +44 20 3416 3314


#3

When you say “drill down all the way to the individual trade[s] in real time”, how fast can the trades be updating?


#4

I wish I could give you a simple answer to your question, but it is very dependent on your trading style.

If you could give me some background I will try to answer more accurately:

What is the instrument mix? Do you trade mainly fungible (listed) securities or you focus on OTC contracts?

Are your trades evenly distributed through the day, or you have a large number of orders clustered at for example the opening or the closing?

Are your trades concentrated on a few underlying securities or do you trade a wide range of volatility products that each of them require a specific volatility surface?

What types of analytics do you wish to see for each asset class?

If you feel that some of this information is proprietary to your organization, we could discuss it in private (feel free to email me at joan@opengamma.com and we can schedule a meeting)


#5

Hi Joan,

I am trying to show multiple asset classes in a portfolio with common columns (risk calcs like interest delta, credit delta, etc) in a single analytics view, how best to do that?

Thanks,
Adi