[Quantlib-users] ORE v10 released

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

Dear all,

The 10th ORE release is out on https://github.com/OpenSourceRisk

As announced, we have rolled out a range of hybrid products this time:

  *   Composite trades
  *   Collateralized Bond Obligations
  *   Generic Total Return Swaps and Contracts For Difference (CFDs) accepting almost arbitrary underlying baskets
  *   Convertible Bonds and Asset Swapped Convertible Option Transactions (ASCOTs)

Moreover, we added to the analytics scope:

  *   ISDA's Standard Initial Margin Model (SIMM) with all versions from inception to the most recent
  *   a proof-of-concept Credit Portfolio Model to construct portfolio loss distributions due to credit migration, credit default and market moves across cash products and derivatives

See the release notes in https://github.com/OpenSourceRisk/Engine/blob/v1.8.10.0/News.txt
or in the userguide.pdf at https://github.com/OpenSourceRisk/Engine/releases/tag/v1.8.10.0 for references to the related examples.

And finally, the ORE Python module has been updated and can be installed with

pip install open-source-risk-engine

Please explore, all feedback is welcome!

Best wishes,
Roland


Roland Lichters
Quantitative Services
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