Home / 

Apart from XVA, what can I use ORE for? I am thinking about the bread and butter tasks like pricing, sensitivities, PL measurement and attribution, Market Risk measurement, Credit Portfolio Risk measurement and so on.

Currently the focus is on pricing,  exposure simulation and XVA. Extension into these other areas you mention is indeed crucial to make ORE a comprehensive risk analytics platform. Therefore these

Will it help me price my wrong way risk?

This certainly requires credit simulation which is indeed on the roadmap. With a conventional intensity (hazard rate) model that we have in mind first (Gaussian, Cox Ingersoll Ross, or Black

When are you releasing the credit toolbox?

Credit simulation is on the roadmap, and we expect to add this with an early release, second or third.

What would be the frequency, if there is one, of updating the ORE in terms of models or capabilities?

We are planning a release frequency of three to six (closer to three) months for the first while, at least until we have covered the basic risk factor classes (IR,

What trade types can ORE handle?

The product range of the first release is Interest Rate Swaps, Cross Currency Swaps, FX Forwards, Caps/Floors, Swaptions and FX Options.

What models does ORE contain?

The first release of ORE comes with a Cross Currency Linear Gauss Markov model that has one factor per currency and one factor per currency pair, i.e. 2*n-1 factors to

What about market data?

ORE can ‘absorb’ most of the market data relevant for pricing IR/FX products and more, in anticipation of subsequent releases. For example, market data comprises yield curve data (Deposits, FRAs,

Is there a roadmap for further development of ORE?

Yes there is, you can find it on opensourcerisk.org. The roadmap outlines a future direction for ORE. Quaternion remains committed to showcasing the releases and sponsoring ORE’s developments. However, the

Can ORE accommodate negative interest rates?

Yes, normal and shifted lognormal volatilities are fully supported on the basis of the QuantLib framework.

How can I be sure that the risk metrics are correct? Has it been validated?

The methods are correctly implemented to the best of our knowledge, and integrity/consistency is checked by the unit test suites in ORE. Moreover, the point of releasing ORE as open