The Open Source Risk Engine’s objective is to provide a free/open source platform for risk analytics and XVA. It is based on QuantLib and grew from work developed by market professionals and academics.

Open Source Risk Engine is sponsored by Quaternion.  The concept of open source is integral to the Firm’s vision.  ORE is offered to the community as part of that vision and commitment to improve the transparency of risk analytics.

  • a transparent platform for pricing and risk analysis that serves as
    • benchmarking, validation, training, teaching reference
    • extensible foundation for tailored risk solutions
  • free/open source software provided under the Modified BSD license
  • extends QuantLib in terms of  simulation models, instruments and engines
  • adds contemporary risk analytics and value adjustments
  • adds simple interfaces for trade/market data and system configuration
  • adds simple launchers in Excel, LibreOffice, Python, Jupyter