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 Karasinski), this will provide some limited capability of wrong way risk analysis- limited, since such intensity models create only very limited default correlation. There are jumpy alternatives such as Peng Kou, but we do not see that as an early extension of ORE so far. We definitley welcome discussion on this subject in the forum.