See “How can I get Open Risk Engine”. The easiest way is trying the binaries/executables delivered with the release archives, if you are a Windows user. Follow the instructions in
Open Source Risk Engine (ORE) is available on github at https://github.com/OpenSourceRisk/Engine where you can either download a release archive as zip or tar.gz, or clone the source code repository with git clone
Clean design, avoiding duplication, a comprehensive test suite, variety of example and demo cases are measures to continuously assure the quality of release. Peer review of the first release will
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.
Make sure “ore_examples_helper.py” in the Examples folder is referring to the right locations for ore.exe. This can be achieved by moving the executable into the “bin” directory as explained in
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
Not out of the box. However, ORE comes with its own XML trade data loader that directly maps to ORE’s internal representation of supported product types (see user guide). To
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,
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