Yes, normal and shifted lognormal volatilities are fully supported on the basis of the QuantLib framework.
ORE is an open source project driven by the community. There is an outline roadmap but the best way to make a desired feature appear quickly is to contribute to
Not at all! ORE builds on the work of QuantLib. And we grateful for the enormous community effort and experience that went into QuantLib which has enabled ORE.
Not out of the box. However, ORE comes with a market data loader that expects a certain market data file format as described in the user guide. To link into
ORE does not cover the entire range of QuantLib instruments. For example, Inflation Swaps and Credit Default Swaps are in QuantLib though not accessible via ORE yet. That will change
You can integrate ORE analytics in several ways: One is to map your market and trade data to the input file formats we have defined and that can be readily
Absolutely. ORE will initially provide one market simulation modelling approach per risk factor class, but we are very open to adding more alternatives. This is what the community needs for
Yes, you can. However, our style is to (re-)write additional pricers in QuantLib style and place them in ORE’s QuantExt library.
ORE is based on QuantLib and uses QuantLib style especially in its “QuantExt” library. Adding different simulation models starts there so that familiarity with QuantLib is an advantage. Further amendments
We appreciate any feedback you post in the user forum at openriskengine.org. If you want to contribute code changes and extensions, then please fork the ORE repository at https://github.com/OpenSourceRisk/Engine and