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Viewing 15 posts - 1 through 15 (of 25 total)
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  • in reply to: IBOR fallbacks #6800
    Roland Lichters
    Keymaster

    Hi,
    another good question. The next release is adding Libor fallback support to ORE.
    The key is a new index in QuantExt (see qle/indexes/fallbackiborindex.*pp, once it is out) and a fallback configuration that is loaded into oreapp (see ored/configuration/iborfallbackconfig.*pp). The fallback index class references the original index (e.g. USD LIBOR 3M) and the new rfr index (e.g. SOFR), and it also contains the locked-in spread and the switch date for that index/term. Post switch, it will compute the fallback index fixings from rfr and spread. There will also be a short section in the user guide that explains the configuration.
    Regards,
    Roland

    in reply to: CDX support? #6799
    Roland Lichters
    Keymaster

    Hi,
    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.
    Regards,
    Roland

    in reply to: Dashboard App #6775
    Roland Lichters
    Keymaster

    Hi Roland,

    if you are still open to sharing your rework of the dashboard, then let’s chat how to include it in the opensourcerisk/dashboard repo.

    Regards,
    Roland

    in reply to: doxygen documentation #6774
    Roland Lichters
    Keymaster

    Hi Roland,

    apologies, this is a while ago now. Could you have a look at the latest release and docs (on this site) and create another PR if this is still an issue?

    Thanks,
    Roland

    in reply to: Compound Instrument Type #6773
    Roland Lichters
    Keymaster

    Hi Roland,

    that’s very useful, we have come up with a compound trade type for similar reasons. Let us chat offline how to take this forward and what version to add to ORE in the next release.

    Regards,
    Roland

    in reply to: SWIG bindings #6772
    Roland Lichters
    Keymaster

    Hi Lluis,

    please try the latest release of ORE and ORE SWIG, both based now on QuantLib/QuantLib-SWIG 1.18.

    Regards,
    Roland

    in reply to: Article on Enhancing ORE (Instruments) #6771
    Roland Lichters
    Keymaster

    Hi Roland,

    thanks for the hint, I have linked your article on the documentation page here.

    Regards,
    Roland

    in reply to: CDX support? #6769
    Roland Lichters
    Keymaster

    Hi,

    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?

    Regards,
    Roland

    in reply to: Does ORE support other currencies? #6768
    Roland Lichters
    Keymaster

    Hi,

    as of the latest 5th release- yes, ORE covers the TWD currency and also the TWD-TAIBOR index.
    We have seen market data for TWD IRS vs 3M TAIBOR, so you should be able to build curves and price Swaps.

    Regards, Roland

    in reply to: ISDA SIMM sensitivities #6698
    Roland Lichters
    Keymaster

    Hi Suhas,

    yes and no. You can generate the “raw” sensitivities (bumping zero rates, hazard rates, optionlet vols etc.) in ORE with the ISDA required bucket structure.
    But then you need to convert these into par sensitivities (Swap rates, CDS Spreads, flat Cap vols etc.). This does not work out of the box by means of configuring ORE. We have developed an additional converter that builds the Jacobi matrix and does the transformation. Or you take another approach bumping input market quotes and run ORE repeatedly, but this is inefficient unless you do some development in ORE.
    So in both cases, you need to do some development to produce a CRIF.
    I hope that helps.

    Regards,
    Roland

    in reply to: 4th Release #6696
    Roland Lichters
    Keymaster

    Dear all,

    the 4th release (v1.8.4.1) is now “officially” out following another round of updates on github this week.
    Please go ahead and try (there is a Windows 64 bit executable again) and let us know your feedback.

    Best regards,
    Roland

    in reply to: Sensitivities with multiple bumps #6683
    Roland Lichters
    Keymaster

    Hi Colin,

    yes, they are applied to -ln(S(t)) / t, in analogy to zero rate bumps for yield curves (see user guide appendix A.13).

    Regards,
    Roland

    in reply to: Collateral Model problem #6654
    Roland Lichters
    Keymaster

    Hi Jaroslav,

    apologies for the late reply. The Independent Amount in formula (17) that can be specified in the nettingset.xml is in fact taken into account in the variation margin process in ORE, as described in the user guide’s appendix. To be honest, I haven’t seen nonzero IA used in practice, where we have used ORE for XVA with real CSAs. It would be interesting to hear feedback from others in the forum on the use of independent amounts in the variation margin process.
    But note that this Independent Amount is meant to be e.g. different from the Initial Margin that needs to be posted in the bilateral OTC derivatives business since 2016. This Initial Margin is certainly not to be mixed with Variation Margin, and held in different accounts.

    Best regards,
    Roland

    in reply to: Sensitivities with multiple bumps #6653
    Roland Lichters
    Keymaster

    Hi Colin,

    yes, please try the stress testing functionality, this allows shifting any number of points on a single curve or several curves simultaneously,
    see example 15. But note that rate shifts are not applied to quotes such as Deposit or Swap rates, but to zero rates. ORE does not provide utilities that support quote sensitivity or stress tests so far, although you can work around that by manipulating the market data input and rerunning the ore executable.

    Regards,
    Roland

    in reply to: NPV valuation date different from market date #6646
    Roland Lichters
    Keymaster

    Hi Marco,

    you could indeed use the simulation framework to achieve what you are looking for. The easiest way is changing the relevant simulation.xml such that the simulation model calibration is skipped, and it is initialized to zero volatility. Then choose a small number of paths (I don’t recall whether 1 is sufficient) and run XVA analytics. The combination of the EPE and ENE profiles will provide you with the NPV evolution “along the forward curve” until maturity. I have used that approach in the past. If you need more help when you try that, let me know.

    Best regards,
    Roland

Viewing 15 posts - 1 through 15 (of 25 total)