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  • #6766
    Roland Lichters

    Dear all,

    we have published the 5th release of ORE and ORE-SWIG this week, updating the codebase at https://github.com/OpenSourceRisk.

    Changes include
    – Products: Added Inflation Caps/Floors, Forward Bonds, American Commodity Options, reference data support for Bond products
    – Markets: Extended currency, calendar and index coverage
    – Term structures: Basic ESTER/SOFR curve building, fitted Bond curve support, more robust CDS curve building, Equity volatility surface stripping from option premia, Equity forward curve stripping from option premia using put/call parity, enhanced Cap/Floor optionlet stripping, extended CDS volatility configuration, added Commodity basis price and average basis price curves
    – Tests: Extended range of unit tests across the three libraries
    – Build systems: Discontinued the automake build system maintenance, after introducing CMake in the 4th release
    – Python/Java language bindings: Migrated ORE SWIG to work with ORE and QuantLib/QuantLib-SWIG 1.18

    and various changes listed in the release notes (see News.txt or the user guide’s section 2 at https://www.opensourcerisk.org/documentation) which have inflated the codebase by about 30% since the last release.

    If you have a chance, please clone the repositories, build and test – all feedback is welcome!

    Best regards,

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