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Important: ORE v17 contains a breaking change for rate curve building - overnight index futures are specified by their contract month, see the market data section in the user guide for details.

Instruments & Pricing Engines

• Support XVA calculations for RPA on vanilla and structured underlyings
• Complete coverage of AMC for scripted trades
• Add fixed strike forward volatility agreement
• Add overnight compounded rate rounding
• Add payment lag unit and anchor to leg data and derived schedule definitions
• Add option on bond future
• Add callable variant of range accrual instrument and pricer
• Add call-spread based pricing for FX digital options
• Add calibration to effective swaptions for RPA pricing on structured underlyings

Analytics

• Add sensitivity based histsim var
• Support averaging coupons for single currency synthetic swaps in par conversion
• Support multithreading in stress analytic
• Add date shifts in stress scenario calculations and refactor theta calculation
• Add money market and overnight IR futures in par conversion
• Improve performance of regression analysis in AMC-CG framework
• Add stressed SIMM analytic
• Support for SIMM 2.8+2512
• Support for cuda-based variant of qrSolve() for AMC training
• Fix dim scaling when initial collateral balance has zero initial margin
• Fix sticky moneyness sensitivity for IR Caps
• Fix sticky moneyness sensitivity for commodity options
• Add path-level additional results report for scripted trades

Market Data

• Breaking Change: overnight index future market datum label to use contract month.
• Support contract month codes in money market and overnight interest rate futures
• Add market calibration report for default curves
• Support intraday power curves
• Add logCubic interpolation in scenario sim market
• Update ILS calendar

Interface and Reports

• Extend SWIG coverage
• Add base currency to scenario and stress test reports
• Add stacktrace for exceptions (only Linux, OSX)
• Add optional filter for scenario dump output file

Consolidation with QuantLib

• ORE v17 uses QuantLib v1.42.1, released April 2026

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Instruments & Pricing Engines

• Support cross-currency Flexi-Swap
• Support swaption straddles
• Support Dual European Binary Option with Volatility
• Cross-currency support for Commodity Swaps
• Add rate digital option instrument and pricer
• Add range accrual instrument and pricer
• Include conditional fee paid on exercise for swaption pricing
• Support quoted commodity calendar spread options
• Update single name CDS options to current conventions
• Support rebasing of inflation indices

Pricing & Simulation

• Heston model for scripted trade pricing
• SVI for equity, fx, commodity, credit volatility surfaces
• Convexity adjustment for EquityTRS and BondTRS
• Review of inflation simulation framework
• LocalVol support for FX in exposure simulations
• Optionally use effective volatilites in market cap surfaces

Analytics

• Optional trade and risk factor breakdown in HistSimVar analytic
• Generate Theta in Sensitivity Analytic

Performance

• Support multithreading in HistSimVar analytic
• Speed up of cube reading and writing
• Speed up of MC exposure simulation, scenario generation, fast fx forward, and vanilla swap engines

Consolidation with QuantLib

• ORE v16 uses QuantLib v1.42, released April 2026

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Pricing & Simulation

• American Monte Carlo (AMC) model support for GenericBarrierOptions, FXDigitalOptions, FXEuropeanBarrierOptions, FXDoubleBarrierOptions, FXBarrierOptions, and FXKIKOBarrierOptions
• Flat-forward interpolation for commodity price curves
• Hull White n-Factor model calibration to historical rate curve moves
• Exposure cube NPV overlay

Instruments & Pricing Engines

• Support subtrades for composite trades
• Volatility smile outputs in additional results for variance swap replication engines
• Rate curve cashflow report containing the cashflows of rate curve instruments
• Constituent calibration to index level for index CDS options
• Configurable usage of indexed and par IBOR coupons respectively for curve building and trade pricing
• Support for conventional spreads in credit curve builder
• Start delay for inflation rate helpers
• New pillar choices (StartDate, StartAndEndDate, None) in rate curve configuration
• Penalty for curve smoothness in global rate curve builder

Analytics

• Sticky SABR sensitivity calculations

Consolidation with QuantLib

• ORE v15 uses QuantLib v1.41, released January 2026

ORE Academy

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Pricing & Simulation

• Introduce refined regression models for overnight coupons in AMC simulation
• Refined calibration for Swaptions, using the delta-gamma adjusted basket approach
• Global rate curve bootstrapping: Rate curve bootstrapping can use a global optimizer, both within one curve and for a set of mutually dependent curves
• Rounding for commodity floating leg

Analytics

• Correlation Analytic and Correlation (optional) dependency for XVA

Instruments & Pricing Engines

• Support finite-difference based pricing of american options on commodity future underlyings
• Support finite-difference based pricing of callable bonds and bond derivatives on callable bond underlyings, Forward, TRS, Options
• Support for bond futures with Cheapest To Deliver feature and TRS ond Bond Futures

Performance

• Missing Fixing ID errors are now always attributed to trade ids

Consolidation with QuantLib

• ORE v14 uses QuantLib v1.40, released October 2025

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Examples

80+ use cases, reorganized into:

• Products and Scripted Trade
• Exposure with and w/o Collateral
• Initial Margin
• Market Risk
• Credit Risk
• XVA Risk
• American Monte Carlo and Performance
• ORE-Python and ORE-API

Documentation

1000+ pages, now split into three main PDF documents

• User guide
• Product Catalogue
• Methods

Additionally, you can find:

• Scripted Trade
• Credit Model
• Design

ORE Python

• Code base moved into the ORE repository, including Jupyter notebook examples
• Extensions to facilitate ORE integration at a major client to replace a production PFE system

Consolidation with QuantLib

• ORE v13 uses QuantLib v1.38, released end of April 2025

Instruments & Pricing Engines

• Swaption extensions (mid-coupon exercise)
• Convertible Bond extensions (triggers for soft call rights)

Pricing & Simulation

• SABR model calibration
• FX vol surface improvements (stabilized calibration, weighted interpolation)

Analytics

• Stressed Cashflows
• Dynamic SIMM Model – POC
• Decorrelated Backtesting
• Cross Asset Model Calibration Export/Import
• Portfolio Details
• SA-CCR, BA-CVA, SA-CVA for some products
• IR/FX CRIF Generation for Dynamic SIMM

Performance

• Cache large in-memory reports on disk
• Reduce memory footprint of exposure cubes
• Speed up the Cross Asset Model analytics
• Improve the American Monte Carlo Framework
  • Add equity
  • Serialize paths and regression models
  • Recalibrate on closeout dates
  • Optional recalibration under scenarios to stabilize risk results
  • Expose indicator smoothing parameters

ORE Academy

Release of the ‘Equity Option Valuation & Calibration Masterclass’ series:

• Part 1 – Fundamentals & Risk Measures
• Part 2 – Trade Configuration
• Part 3 – Equity Forward Curve Construction