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  • #3680
    Anonymous
    Inactive

    Does OpenSourceRisk introduce new quantitative models and algorithms? Or is it more like an application for QuantLib?

    #3682
    Roland Lichters
    Keymaster

    Hi studentt,

    ORE adds new QuantLib-style models/processes/engines, market evolution methods, collateral modelling for variation margin and dynamic initial margin etc in three libraries (QuantExt, OREData, OREAnalytics). And it acts as a configurable application around these three libraries including QuantLib.

    Please have a look at the FAQs and the user guide (see the link on the documentation page). That should give you an overview over the project and the relation to QuantLib.

    Best regards,
    Roland

    #3728
    Anonymous
    Inactive

    If I may expand on this topic. Why did you e.g. define new currencies in QuantExt instead of contributing it back to QuantLib? Was there a specific reason for this?

    #3729
    Peter Caspers
    Keymaster

    Hi Francois,

    this way we are independent of the QuantLib release cycle and can introduce missing pieces whenever we need them. Another reason is that some classes in QuantExt may seem too specialised for QuantLib, like the InterpolatedDiscountCurve variant which was optimised for the XVA simulation run.

    But it’s not impossible that the two libraries might be merged in the future, let’s see.

    Kind Regards
    Peter

    #6109
    ebramali03
    Participant

    Watch Plymouth Argyle vs Liverpool live

    #6119
    Anonymous
    Inactive

    so nice

Viewing 6 posts - 1 through 6 (of 6 total)
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