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)
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.
