What models does ORE contain?
The first release of ORE comes with a Cross Currency Linear Gauss Markov model that has one factor per currency and one factor per currency pair, i.e. 2*n-1 factors to simulate an n-currency market. The interest rate processes are normal, FX processes log-normal, tenor and cross currency basis is deterministic. The model is calibrated to yield curves in all currencies, Swaptions and FX options.