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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.Moreover,
– 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,
Roland
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