ORE User Meeting 2018
Quaternion sponsored the first ORE User Meeting on 23 November 2018 in Frankfurt at Fleming’s hotel.
We were pleased to have 35 participants from 16 organizations for a full day with presentations and discussions.
9 speakers shared their experiences and plans with ORE.
The overall feedback to the event was so positive that this might have been the start of a new series.
|Roland Lichters (Quaternion)
|Welcome and Agenda
|Roland Kapl (OeBFA)
|XVA-Valuation Project with ORE
|Nikolai Nowaczyk (Quaternion)
|Understanding the Impact of Regulation on Systemic Risk with ORE
|Dmitry Zaykovskiy (Deutsche Pfandbriefbank AG)
|ORE in Pricing of Bermudan Swaptions: Client Experience from Model Validation
|Patrick Büchel (Commerzbank)
|XVA Model Validation
|Oleg Kulkov (Allianz Global Investors)
|Structured Loan Pricing and Embedded Prepayment Options in Project Financing High Yield Markets
|Andreas Kewenig (Aareal Bank AG)
|Alternative Use Case for ORE: An Interactive Application for Financial Planning and Controlling
|Niall O’Sullivan (Quaternion)
|Sensitivity Analysis, ISDA SIMM Benchmarking and Backtesting with RESTORE
|Roland Lichters (Quaternion)
|ORE in Python and Java
|Ioannis Rigopoulos (Deriscope)
|A precursor to ORE in Excel: Calculating the VaR using Deriscope and QuantLib
Presentations in bold can be viewed and downloaded.
The final part of the meeting was an open discussion about ORE, observed issues, the dynamics of contributions, desired features and the way forward from the audience’s point of view. The discussion revolved around the following questions:
- What are the main issues you have come across in ORE?
- What features would you like to see in ORE?
- What do you need in ORE to consider using ORE in your day-to-day business?
- Do you face legal, compliance, audit barriers to using Open Source software in general in your firm and is there anything the Open Source Risk Project can do to help?
- Would you like to see more regular commits on github, rather than around release times only?
- Would you like to contribute to ORE? What would you like to contribute to ORE? Do you need help in adding to ORE?
- Do you see a need for merging QuantExt into QuantLib?
- Is ORE XML wide enough? Do we need to cover FpML? JSON?
- Does the ORE forum work? Did you post questions? Did you get a useful response, in a reasonable time?
- What are your focus areas, where would you like to see further development, how would you like to see ORE evolve in general?
To briefly summarize the feedback, several participants expressed their interest in
- ORE release 4 (which in preparation)
- increased GitHub activity: So far there were commits to the code base only at release times, so that the project appears inactive though it is not. This has two effects – makes promoting the project within organizations difficult, and it keeps people from making own contributions
- extensions that support wider adoption of ORE, including:
- SWIG language bindings similar to QuantLib, e.g. ORE Python wrapper
- examples that demonstrate how extensions can be plugged in using “ORE+” code managed “outside” ORE’s code base
- examples that demonstrate how externally generated scenarios can be loaded into ORE for market simulation
- standard trade data adapters for Summit, Murex, etc.
- merging QuantExt into QuantLib, as this would mobilise a larger audience for peer review
- updated and extended documentation to fully reflect ORE’s functionality
- updated Schemas consistent with the implementation so that one can validate against them
- an updated roadmap, as the functional goals on the initial roadmap on this site are partly achieved by now; desired features include:
- payoff language to cover exotics
- loan products
- portfolio evolution beyond ageing and option exercise
- standard approaches for capital calculations (SA-CCR etc)
- P&L reporting and decomposition
- Excel integration
Many thanks to the speakers for sharing their experiences, and many thanks to the audience for the interest in the event, discussions and valuable feedback. Let us continue discussions in the forum, and please watch out for news e.g. on release 4.
Roland Lichters, December 2018