To start we recommend browsing through the ORE User Guide, a useful starting point for both end users and developers.

The ORE User Guide provides

• a brief introduction and motivation for the Open Source Risk project and ORE
• an overview over the main workflow supported by ORE
• installation instructions
• a series of examples that demonstrate how ORE can be used, as well as
• reference documentation of how to parameterise ORE

To learn about the ORE representation of complex products and the payoff script language involved we refer to the Scripted Trade document. A third entry point is the HTML reference that is generated from the source code documentation with doxygen. This shows the class hierarchy and C++ API. ORE consists of three libraries with separate HTML references listed below.

• QuantExt: This library contains QuantLib extensions in terms of financial instruments, models and pricing engines. It is organised as QuantLib. Developers familiar with QuantLib will find it easy to navigate this library.
• OREData: This library is responsible for data management, conversion of external data representations in XML into C++ objects, building of portfolios, market data, configuration objects, term structures of all kinds. OREData, QuantExt and QuantLib are sufficient to price a portfolio as of today.
• OREAnalytics: This library manages the core ‘loop’ of ORE that builds an NPV cube, and it contains the post processor functionality for collateral modelling, exposure aggregation, risk statistics and value adjustments.

Extending ORE

Roland Kapl has provided an article here that explains the steps involved when adding a new instrument to ORE.