– 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!