NewsAcadia Announces Seventh Release of Open Source Risk Engine with Quarterly Releases to Follow
September 22, 2022

Acadia Announces Seventh Release of Open Source Risk Engine with Quarterly Releases to Follow

New release marks a step towards full transparency of Acadia’s Initial Margin Risk Generator methodology 

Additional updates will be provided quarterly

Norwell, MA, September 22, 2022--- Acadia, the leading industry provider for integrated risk management services for the derivatives community, is pleased to announce the seventh release of the Open Source Risk Engine (ORE), a peer-reviewed, free-to-access framework for pricing and risk analysis.

ORE is an Open Source Software project, designed for contemporary pricing and risk analytics of traded financial products. Since its release in 2016, ORE has formed the foundation of Acadia’s risk services including the award-winning risk sensitivity calculator, Initial Margin Risk Generator (IMRG).

This seventh release is the beginning of a financial instrument rollout that will follow in quarterly steps, across all risk classes covered by the service – Commodity derivatives, Credit derivatives, Interest Rate and Bond derivatives, as well as complex hybrid products represented using scripted payoffs.

“With the quarterly release of ORE, we are ensuring that contemporary pricing and risk analytics remain updated, cutting-edge, and animated with a regular breath of new life. Due to these contributions over the next year, Acadia will achieve an entirely transparent and open representation of the derivative products covered in IMRG if not the financial market,” said Roland Lichters, Co-Head of Quantitative Services.

“Acadia has taken another step towards full transparency of its IMRG methodology by contributing a significant range of exotic Equity/FX derivatives to ORE. This module in ORE now covers almost the entire range of Equity/FX derivative types seen across all service clients,” Lichters added.

ORE is based on QuantLib, the open-source library for quantitative finance, and grew from work developed by market professionals and academics. It is offered to the community free of charge as part of Acadia’s commitment to improve the transparency of risk analytics and to improve accessibility to such tools. The roadmap of ORE contributions for the next year can be viewed here.

For more information and to install OREVersion 7, visit opensourcerisk.org.

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ABOUT ACADIA
Acadia is the leading industry provider of integrated risk management services for the derivatives community.  Our risk, margin and collateral tools enable a holistic risk management strategy on a real-time basis within a centralized industry standard platform. 

Acadia’s comprehensive suite of analytics solutions and services helps firms manage risk better, smarter, and faster, while optimizing resources across the entire trade life cycle. Through an open-access model, Acadia brings together a network of banks and other derivatives participants, along with several market infrastructures and innovative vendors.

Backed by 16 major industry participants and market infrastructures, Acadia is used by a community of over 2000 firms exchanging more than $1 trillion of collateral on daily basis via its margin automation services. Acadia is headquartered in Norwell, MA and has offices in Boston, Dublin, Dusseldorf, London, New York, Manila, and Tokyo. Acadia® is a registered trademark of AcadiaSoft, Inc. For more information, visit acadia.inc. Follow us on Twitter and LinkedIn.

 

Media Contacts:

Laura Craft

Head of Marketing & Corporate Communications, Acadia

laura.craft@acadia.inc

+44 (0)1727 324 5513

or

Brendan Terry

Lansons (New York)

brendant@lansons.com

+1 (212) 754 5467

Santi Dharmawan

Lansons (London)

acadia@lansons.com

+44 20 7294 3647

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