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  • #7155
    Roland Lichters

    Dear all,

    our next release is out on https://github.com/OpenSourceRisk

    As announced, we have rolled out a range of credit and bond derivatives this time,
    see the release for details.

    – American Monte Carlo simulation is integrated now (see Example 39)
    – par sensitivity analysis has been added (see Example 40)
    – there are additional parametric VaR types including Delta-Gamma Saddlepoint
    – we have added multi-threading support to sensitivity analysis and exposure simulation (see Example 41)

    And finally, our ORE Python module can be installed with
    pip install open-source-risk-engine
    now, and it allows querying ORE results and amending inputs in memory within the Python framework.
    See Example 42 for a start and more examples in the ORE SWIG repository.

    Please explore, all feedback is welcome!

    Best wishes,

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