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This topic contains 2 replies, has 2 voices, and was last updated by  rkapl 1 month, 1 week ago.

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  • #6625

    Roland Lichters
    Keymaster

    Dear all,

    we have done a “soft” 4th release of ORE this week, updating the codebase at https://github.com/OpenSourceRisk.
    Changes include:
    – 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).

    Best regards,
    Roland

    #6696

    Roland Lichters
    Keymaster

    Dear all,

    the 4th release (v1.8.4.1) is now “officially” out following another round of updates on github this week.
    Please go ahead and try (there is a Windows 64 bit executable again) and let us know your feedback.

    Best regards,
    Roland

    #6738

    rkapl
    Participant

    Dear Roland!

    Many thanks for the new release, I’ve built it with both VS 2015 and VS 2019 using boost 1_70_0 and the current Quantlib branch (master), there were some minor problems (french calendar now in Quantlib, added 2 references to ql/version.hpp which resolved issue #32) but nothing that kept ORE from building. A few depreciation warnings from Quantlib and boost are still there and 2 of the ORE testcases failed to run (testSensiPerformanceBigPortfolioBigScenarioCrossGammaNoneObs and testSensiPerformanceBigPortfolioCrossGammaNoneObs).

    I’ve added a pull request for those changes.

    -regards,
    Roland

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