[Quantlib-users] ORE v12 released

[Lichters, R. <Rol...@ls...>]

Hi all,

We are happy to announce our next release of ORE on https://github.com/OpenSourceRisk with a range of new features

  *   several new instruments again, including American Swaptions, Flexi Swaps, formula-based legs
  *   using QuantLib’s finite difference framework in Swaptions and Scripted Trades
  *   adding Market Risk analytics including P&L, P&L Explain, Historical Simulation VaR, stress testing in the par-rate domain, XVA stress testing and sensitivity
  *   using AAD for t0 sensitivity and XVA sensitivity
  *   using GPUs to parallelize calculations

Please check it out: Install the ORE Python package with “pip install open-source-risk-engine” or clone the repo at https://github.com/OpenSourceRisk/Engine). To get started with using ORE, see the new user guide at https://opensourcerisk.org/documentation and the examples described there.

Best wishes,
Roland
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