[Quantlib-dev] ORE v9 is out

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

Dear all,

our next ORE release is out on https://github.com/OpenSourceRisk

As announced, we have rolled out a range of credit and bond derivatives this time,
see the release notes for details.

Moreover,

  *   American Monte Carlo simulation is integrated now (Example 39)
  *   par sensitivity analysis has been added (Example 40)
  *   there are additional parametric VaR types including Delta-Gamma Saddlepoint
  *   we have added multi-threading support to sensitivity analysis and exposure simulation (Example 41)
  *   And finally, our ORE Python module can now be installed with “pip install open-source-risk-engine”, and it allows querying ORE results and amending inputs in memory within the Python framework. See Example 42 for a start and more examples in the ORE SWIG repository.

Please explore, all feedback is welcome!

And join us at the Acadia Quant Summit in London this month https://www.acadia.inc/quant-summit-london to see and discuss ORE.

Best wishes,
Roland
Roland Lichters
Quantitative Services
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