we have done a “soft” 4th release of ORE this week, updating the codebase at https://github.com/OpenSourceRisk.
– Products: Commodity forwards/options, Equity Swap, CPI Caps/Floors, CMS Spread Options
– Various calendars and indices
– Various changes to facilitate proprietary extensions of ORE
– Extended list of examples and unit tests
– Added Cmake based build system
We have also started a second repository https://github.com/OpenSourceRisk/ORE-SWIG with language bindings for ORE, currently focusing on Python and Java where we have seen and heard demand, e.g. at our User Meeting in November.
This release gets us a step closer to our interim target, to cover six asset classes in ORE (IR, FX, INF, EQ, COM, CR), with some more work to do to cover Credit derivatives in ORE’s risk analytics including exposure simulation and xVA in the next release(s).
If you have a chance, please clone the repositories, build and test – all feedback is welcome!
In the meantime we will work on updating ORE’s documentation (user guide and doxygen).