Setup & Information
What is ORE?
In this video, we give an overview
of what is Open-source Risk Engine (ORE):
How to install ORE?
In this video, we explain how to
install and test Open source Risk Engine
Trades XML Files
In this video, we walk you through
the ORE XML trade detail specification
How to change the reporting currency?
In this video we explain how to change
the reporting currency when pricing a trade
General Configuration & Master File
In this video, we explain the general setup
of ORE , how the master file contains
all information regarding the other input files
Trades & Analytics
Interest Rate Swap
In this video, we explain how to setup
ORE to price an interest rate swap.
Equity Option with Implied Volatility Surface
In this video, we explain how to setup ORE
to price an equity option with implied volatility.
Finance & Accounting Case Studies
Market Risk and IFRS reporting support for a specialist German bank
A bank required the implementation of an engine capable of computing International Financial Reporting Standards (IFRS) P&L and risk numbers for their entire balance sheet.
Quaternion Quant Services implemented a pricing and risk engine for the finance and front office departments that could compute key inputs for the reporting and risk management of IFRS numbers. We introduced Open Risk Engine (ORE) that covered all of the bank’s financial instruments (deposits, loans, money market, bond and derivative trades) to compute current IFRS margins for all positions and risk numbers, providing a clear view of the bank’s overall IFRS income.