We have now released more than 1000+ pages of documentation, now split into three main files, and directly accessible from our Github page:
And a few other secondary files:
| · American Monte Carlo | Engine/Docs/amc.pdf at master · OpenSourceRisk/Engine · GitHub |
| · Compute Environment | Engine/Docs/computeenvironment.pdf at master · OpenSourceRisk/Engine · GitHub |
| · Credit Model | Engine/Docs/creditmodel.pdf at master · OpenSourceRisk/Engine · GitHub |
| · Formula Based Coupons | Engine/Docs/formulabasedcoupon.pdf at master · OpenSourceRisk/Engine · GitHub |
| · ORE Design | Engine/Docs/ore_design.pdf at master · OpenSourceRisk/Engine · GitHub |
| · Scripted Trades | Engine/Docs/scriptedtrade.pdf at master · OpenSourceRisk/Engine · GitHub |
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 (analytics, market data, curves, conventions…), except for the portfolio and pricing engine data (explained in the product catalogue)
The Product Catalogue contains:
- a full description of the instrument payoffs
- the pricing methodologies
- ORE trade XML parametrization
- ORE pricing engine XML parametrization
The Methodology documentation contains descriptions of the analytics calculations:
- Risk Factor Evolution
- Exposure Simulation (including using AMC)
- XVA
- Sensitivity/Par-Sensitivity Analysis
- Economic & Risk Hypothetical P&L
- Historical, MC , Semi/Fully Parametric & Hybrid VaR
- Capital Requirements Calculations (e.g. SMRC, CEM, RWA, SA/BA-CCR)
This HTML documentation provides an overview of the structure and various classes and functions found the ORE C++ library. It is generated automatically from the source code using Doxygen , a widely-used open-source documentation generator tool).
View an extensive library of learning materials on YouTube covering all of the pricing and risk analysis possibilities with ORE so that you can take complete advantage of its capabilities.
