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  • #7135
    Roland Lichters
    Keymaster

    Dear all,

    We have just published the 8th release of ORE and ORE-SWIG, updating the codebase at https://github.com/OpenSourceRisk. ORE 8 depends on QuantLib and QuantLib-SWIG 1.28.

    As announced in September, we are continuing the rollout of financial instruments this time with commodity derivatives adding
    – Swaps
    – Swaptions
    – Digital Options
    – Average Price Options
    – Option Strips
    and a few more exotic Equity/FX products.

    Moreover, we are adding to the analytics to make ORE more widely usable
    – Commodity simulation integrated into the Gaussian Cross Asset Model in ORE, so that we have coverage across six asset classes now in exposure simulation and XVA
    – Multi-factor Hull-White / FX / Commodity simulation model
    – American Monte Carlo components to allow quick exposure simulation including multi-callables
    The full release notes can be found in the user guide under the DOCUMENTATION menu on this site.

    Credit derivatives, Bond derivatives, hybrids and scripted exotics will follow in the next releases in quarterly steps.

    Please explore ORE – download the release executable, or clone the repositories and build.

    As usual, all feedback is welcome!

    Best regards,
    Roland

    #7136
    youness
    Participant

    Hello Roland,

    Fantastic. Great to see that you continue to support and work on this fantastic project!

    I have a question regarding this line in the release notes above:
    “– American Monte Carlo components to allow quick exposure simulation including multi-callables”
    I could not find anything on this in the documentation, nor in the examples. Would it be possible to add an example covering this (e.g. add the American Monte Carlo valuation in the already available Bermuda example)?

    Thanks in advance!

    Best regards,
    Youness

    #7137
    Roland Lichters
    Keymaster

    Hi Youness,

    Right, only code was released so far, full integration and examples will follow soon, latest with the next release end of Q1.

    Best regards,
    Roland

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