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    Roland Lichters

    Hi all,

    we are happy to announce our 12th release of ORE on https://github.com/OpenSourceRisk.

    New features include
    – several new instruments such as American Swaptions, Flexi Swaps
    – more pricing engines utilising QuantLib’s finite difference framework, for Swaptions and Scripted Trades
    – adding several Market Risk analytics – P&L, P&L Explain, HistSim VaR, stress testing in the par-rate domain, XVA stress testing and sensitivity
    – using AAD for t0 sensitivity and XVA sensitivity
    – using GPUs to parallelise calculations

    Please check it out: Install the ORE Python package with “pip install open-source-risk-engine” or clone the repo at https://github.com/OpenSourceRisk/Engine. To get started with ORE, see the new user guide at https://opensourcerisk.org/documentation and the examples described there.

    As always, we are looking forward to feedback!

    Best wishes,

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