[Quantlib-users] ORE v11 released

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

Hi all,

We are happy to announce our next release of ORE on https://github.com/OpenSourceRisk.

Main contribution this time is Acadia's scripted trade framework that allows representing complex payoffs (hybrids, baskets, with path-dependence, early exercise) using an ORE scripting language, so that new instruments can be added without recompiling ORE. Scripted trades are fully integrated into ORE, with pricing, sensitivity analysis, par sensitivity conversion, fast exposure simulation and XVA using American Monte Carlo. Moreover, the new framework is the basis for an ORE implementation of Algorithmic Differentiation (AD) for trade sensitivities and ultimately XVA risk and SA-CVA. And finally, the framework provides an external compute device interface for utilising GPUs.

The current release also adds SIMM 2.6, as well as one-day SIMM for SIMM versions >= 2.2.

ORE v11 is based on QuantLib 1.31.1.

To get started with ORE as a Python module, just call “pip install open-source-risk-engine” and see the ORE User Guide
at https://opensourcerisk.org/documentation

Best wishes,
Roland


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