10th Release

[Roland Lichters]

Dear all,

The 10th ORE release is out on https://github.com/OpenSourceRisk

As announced, we have rolled out a range of hybrid products this time:
– Composite trades
– Collateralized Bond Obligations
– Generic Total Return Swaps and Contracts For Difference (CFDs) accepting almost arbitrary underlying baskets
– Convertible Bonds and Asset Swapped Convertible Option Transactions (ASCOTs)

Moreover, we added to the analytics scope:
– ISDA’s Standard Initial Margin Model (SIMM) with all versions from inception to the most recent
– a proof-of-concept Credit Portfolio Model to construct portfolio loss distributions due to credit migration, credit default and market moves across cash products and derivatives

See the release notes in https://github.com/OpenSourceRisk/Engine/blob/v1.8.10.0/News.txt
or in the userguide.pdf at https://github.com/OpenSourceRisk/Engine/releases/tag/v1.8.10.0 for references to the related examples.

And finally, the ORE Python module has been updated and can be installed with

pip install open-source-risk-engine

Please explore, all feedback is welcome!

Best wishes,
Roland

[forde]

Great work Roland and team on v10, especially for ISDA SIMM. Thank you for your continued sponsorship of ORE.

Could you please comment, where possible, on your roadmap?

You mention that “Subsequent ORE releases will also compute regulatory capital charges for counterparty credit risk under the standardised approach (SA-CCR)”. What is the potential timing for the SA-CCR release?

I have started work on incorporating SA-CCR into ORE (porting an existing Python app that covers less instruments) but this may be a wasted effort.

Similarly, I’d be interested in any plans for releasing SA/BA-XVA analytics.

I look forward to hearing from you.

Regards,

Forde

[Author]

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