Does ORE currently support CDX trades out of the box? In particular in some interface work I’ve seen with Acadiasoft it looks like there is potentially a Trade Type of “IndexCreditDefaultSwap”? Is this either in the current ORE product or coming to a future release?
yes and no, we do have index CDS support in the extended ORE we use with AcadiaSoft, but it hasn’t made it into the latest ORE release this week.
This might change in the future, but we haven’t decided on the scope for the next release yet.
Can you try to work with the CDS in ORE?
It is mentioned in the latest ORE user Guide ( 19 June 2020) that CDS exposure simulation will be available in the next ore release. Can you please mention the expected time of new ore release and will both CDS and repos exposure simulation be included in that?
apologies for the late reply. We are working on the release now, and I hope to get it rolled out by end of this month or early July. And it will come with a credit simulation extension.