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  • #6812
    Roland Lichters

    Dear all,

    we have just published the 6th release of ORE and ORE-SWIG, updating the codebase at https://github.com/OpenSourceRisk.

    Changes include
    – Dependency: QuantLib 1.22
    – Products: Support for Asian options, several new leg types, settlement delay for FX derivatives
    – Markets: Minor currency support, configurable currencies and indices, IBOR fallback support
    – Term structures: Support for SOFR futures, CDS upfront quotes in curve building; delta-interpolated FX vol surfaces with BF/RR input, delta-interpolated Equity vol surfaces, additional interpolation methods for yield and commodity price curves
    – Analytics: Support close-out grids in exposure simulation and XVA, add credit simulation using Gaussian and CIR models, add inflation simulation using Jarrow-Yildirim, enable exposure simulation in the Bank Account measure
    – Python/Java language bindings: Migrated ORE SWIG to work with ORE 1.8.6 and QuantLib-SWIG 1.22

    For the full release notes see the user guide under the DOCUMENTATION menu on this site.

    Please explore ORE – download the release executable, or clone the repositories and build.
    All feedback is welcome!

    Best regards,


    Hi Roland,

    I am using ORE v6. Since in this version credit simulation is implemented, wanted to ask if is it possible simulate bond prices?


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