[Roland Lichters]

Hi,
apologies, I should have said that in the announcement: We cannot provide the executable at the moment, because we need to follow stricter IT security policies now, which involve scanning of the codebase and artefacts like ore.exe before releasing. We managed to get this done for the source code (see the note on Blackduck and Coverity scans in News.txt) , but not for the ore executable, because we did not want to delay the release further. We will look into including the executable next time again, or we will look at GitHub actions to build post release.
In the meantime, how about using the Python wheels? When you install the ORE Python module with “pip install open-source-risk-engine”, then you can run ORE through Python effectively in the same way as running the executable, without any loss of functionality or speed. Example 42 demonstrates that use case.
Best wishes,
Roland

[Roland Lichters]

Hi Youness,

Right, only code was released so far, full integration and examples will follow soon, latest with the next release end of Q1.

Best regards,
Roland

[Roland Lichters]

Hi,
apologies for the late reply. We are working on the release now, and I hope to get it rolled out by end of this month or early July. And it will come with a credit simulation extension.
Regards,
Roland

[Roland Lichters]

Hi Roland,

if you are still open to sharing your rework of the dashboard, then let’s chat how to include it in the opensourcerisk/dashboard repo.

Regards,
Roland

[Roland Lichters]

Hi Roland,

apologies, this is a while ago now. Could you have a look at the latest release and docs (on this site) and create another PR if this is still an issue?

Thanks,
Roland

[Roland Lichters]

Hi Roland,

that’s very useful, we have come up with a compound trade type for similar reasons. Let us chat offline how to take this forward and what version to add to ORE in the next release.

Regards,
Roland

[Roland Lichters]

Hi Lluis,

please try the latest release of ORE and ORE SWIG, both based now on QuantLib/QuantLib-SWIG 1.18.

Regards,
Roland

[Roland Lichters]

Hi Roland,

thanks for the hint, I have linked your article on the documentation page here.

Regards,
Roland

[Roland Lichters]

Hi,

yes and no, we do have index CDS support in the extended ORE we use with AcadiaSoft, but it hasn’t made it into the latest ORE release this week.
This might change in the future, but we haven’t decided on the scope for the next release yet.
Can you try to work with the CDS in ORE?

Regards,
Roland

[Roland Lichters]

Hi,

as of the latest 5th release- yes, ORE covers the TWD currency and also the TWD-TAIBOR index.
We have seen market data for TWD IRS vs 3M TAIBOR, so you should be able to build curves and price Swaps.

Regards, Roland

[Roland Lichters]

Hi Suhas,

yes and no. You can generate the “raw” sensitivities (bumping zero rates, hazard rates, optionlet vols etc.) in ORE with the ISDA required bucket structure.
But then you need to convert these into par sensitivities (Swap rates, CDS Spreads, flat Cap vols etc.). This does not work out of the box by means of configuring ORE. We have developed an additional converter that builds the Jacobi matrix and does the transformation. Or you take another approach bumping input market quotes and run ORE repeatedly, but this is inefficient unless you do some development in ORE.
So in both cases, you need to do some development to produce a CRIF.
I hope that helps.

Regards,
Roland

[Roland Lichters]

Dear all,

the 4th release (v1.8.4.1) is now “officially” out following another round of updates on github this week.
Please go ahead and try (there is a Windows 64 bit executable again) and let us know your feedback.

Best regards,
Roland

[Roland Lichters]

Hi Colin,

yes, they are applied to -ln(S(t)) / t, in analogy to zero rate bumps for yield curves (see user guide appendix A.13).

Regards,
Roland

[Roland Lichters]

Hi Jaroslav,

apologies for the late reply. The Independent Amount in formula (17) that can be specified in the nettingset.xml is in fact taken into account in the variation margin process in ORE, as described in the user guide’s appendix. To be honest, I haven’t seen nonzero IA used in practice, where we have used ORE for XVA with real CSAs. It would be interesting to hear feedback from others in the forum on the use of independent amounts in the variation margin process.
But note that this Independent Amount is meant to be e.g. different from the Initial Margin that needs to be posted in the bilateral OTC derivatives business since 2016. This Initial Margin is certainly not to be mixed with Variation Margin, and held in different accounts.

Best regards,
Roland

[Roland Lichters]

Hi Colin,

yes, please try the stress testing functionality, this allows shifting any number of points on a single curve or several curves simultaneously,
see example 15. But note that rate shifts are not applied to quotes such as Deposit or Swap rates, but to zero rates. ORE does not provide utilities that support quote sensitivity or stress tests so far, although you can work around that by manipulating the market data input and rerunning the ore executable.

Regards,
Roland

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