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Hi all,
we are happy to announce our 12th release of ORE on https://github.com/OpenSourceRisk.
New features include
– several new instruments such as American Swaptions, Flexi Swaps
– more pricing engines utilising QuantLib’s finite difference framework, for Swaptions and Scripted Trades
– adding several Market Risk analytics – P&L, P&L Explain, HistSim VaR, stress testing in the par-rate domain, XVA stress testing and sensitivity
– using AAD for t0 sensitivity and XVA sensitivity
– using GPUs to parallelise calculationsPlease check it out: Install the ORE Python package with “pip install open-source-risk-engine” or clone the repo at https://github.com/OpenSourceRisk/Engine. To get started with ORE, see the new user guide at https://opensourcerisk.org/documentation and the examples described there.
As always, we are looking forward to feedback!
Best wishes,
Roland
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