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    Roland Lichters

    Dear all,

    our third release of ORE is out, please check github.com/opensourcerisk/engine.
    This release extends the
    – sensitivity framework (adding inflation, equity and credit)
    – MC simulation framework (adding inflation simulation to IR/FX/EQ)
    – product range (adding CMS, CMS Cap/Floor and CDS instruments, as well as amortisation structures)
    – risk methods (adding a parametric, Delta-Gamma Normal, Value at Risk)
    – unit test framework and examples

    All feedback is welcome!


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