Great work Roland and team on v10, especially for ISDA SIMM. Thank you for your continued sponsorship of ORE.
Could you please comment, where possible, on your roadmap?
You mention that “Subsequent ORE releases will also compute regulatory capital charges for counterparty credit risk under the standardised approach (SA-CCR)”. What is the potential timing for the SA-CCR release?
I have started work on incorporating SA-CCR into ORE (porting an existing Python app that covers less instruments) but this may be a wasted effort.
Similarly, I’d be interested in any plans for releasing SA/BA-XVA analytics.
I look forward to hearing from you.
Regards,
Forde