We are convinced that ORE can be adapted and integrated by experienced professionals. Of course, Quaternion can assist and are able to accelerate implementation and adaptation timelines.
ORE is unique in that that it is based on the wealth of methods provided by QuantLib, a peer reviewed pricing library that has evolved over 15 years. We try
ORE is an application that provides a Monte Carlo simulation framework for contemporary risk analytics and value adjustments, simple interfaces (for trade data, market data and system configuration), simple launchers
It is a culmination of years of experience (approximately ~10 person years joint coding effort – real blood, sweat and tears!) and the desire to ‘leave something behind’ that is
Good point. ORE has not bee designed from scratch at the drawing board. OREs architecture grew out of years of industry experience the Quaternion team has as users, developers and
It is open source, so your IT can scan it for any malware, and your model validation can check down to the last line of code. Whether it is secure
Certainly, we would encourage people to talk about ORE publicly and help promoting the idea. Members of the project sponsor are doing this already and will continue to do so.
We have created a forum page on opensourcerisk.org to enable exchange between users and developers from day one. You can also subscribe there to get notified when there are updates
Yes, the ORE framework is used in production. We have started a case studies page on opensourcerisk.org to list cases we are aware of and that we are allowed to
That’s a good idea. We will add to opensourcerisk.org as we become aware of institutions using it (and when the institutions agree to publishing this).