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
– 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!