[Quantlib-dev] ORE v8 released

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

Dear all,

We have just published the 8th release of ORE and ORE-SWIG, updating the codebase at https://github.com/OpenSourceRisk. ORE 8 depends on QuantLib and QuantLib-SWIG 1.28.

As announced by Acadia in September, we are continuing the rollout of financial instruments this time with commodity derivatives adding

  *   Swaps
  *   Swaptions
  *   Digital Options
  *   Average Price Options
  *   Option Strips
and a few more exotic Equity/FX products.

Moreover, we are adding to the analytics to make ORE more widely usable

  *   Commodity simulation integrated into the Gaussian Cross Asset Model in ORE, so that we have coverage across six asset classes now in exposure simulation and XVA
  *   Multi-factor Hull-White / FX / Commodity simulation model
  *   American Monte Carlo components to allow quick exposure simulation including multi-callables
The full release notes can be found in the user guide under the DOCUMENTATION menu on https://opensourcerisk.org.

Credit derivatives, Bond derivatives, hybrids and scripted exotics will follow in the next releases in quarterly steps, see also the Acadia press release for the previous 7th release and roadmap here<https://www.acadia.inc/news/acadia-announces-seventh-release-of-open-source-risk-engine-with-quarterly-releases-to-follow>.

If you want to hear from Acadia about latest ORE developments, then feel free to sign up here<https://share.hsforms.com/1eqcUZ-9_QdSH__M7_YPSig43ul4> to receive updates by email.

Please explore ORE – download the release executable, or clone the repositories and build.

As usual, all feedback is welcome!

Best regards,
Roland

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