[Quantlib-users] Open Source Risk Engine (ORE) 1.8.5.0 released

[Roland L. <rol...@qu...>]

Dear all,

we have published the 5th release of ORE and ORE-SWIG this week, see  opensourcerisk.org <http://opensourcerisk.org/> and github.com/opensourcerisk <http://github.com/opensourcerisk>.

Changes include
Products: Added Inflation Caps/Floors, Forward Bonds, American Commodity Options, reference data support for Bond products
Markets: Extended currency, calendar and index coverage
Term structures: Basic ESTER/SOFR curve building, fitted Bond curve support, more robust CDS curve building, Equity volatility surface stripping from option premia, Equity forward curve stripping from option premia using put/call parity, enhanced Cap/Floor optionlet stripping, extended CDS volatility configuration, added Commodity basis price and average basis price curves
Tests: Extended range of unit tests across the three libraries
Build systems: Discontinued the automake build system maintenance, after introducing CMake in the 4th release
Python/Java language bindings: Migrated ORE SWIG to work with ORE 1.8.5.0 and QuantLib/QuantLib-SWIG 1.18
and various changes listed in the frelease notes (see News.txt or the user guide’s section 2 at https://www.opensourcerisk.org/documentation <https://www.opensourcerisk.org/documentation>) which have inflated the codebase by about 30%  since the last release.
If you have a chance, please clone the repositories, build and test – all feedback is welcome!

Best regards,
Roland