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