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Supporting clients with portfolio planning

Quaternion Quant Services team provides firms with an independent assessment of their financial planning, helping them to review the evolution of their portfolios, especially those under specific modeling assumptions.

Finance & Accounting

Setup & Information

What is ORE?

In this video, we give an overview
of what is Open-source Risk Engine (ORE):

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- How it was created (i.e. its history and original purpose)

- What it is now and who is currently using it- How it can be extended through already existing modules as part of ORE+

- How Acadia can help you expend it in many ways possible for your own purposes and needs through our expert services

- A high-level view on how to install and use it

How to install ORE?

In this video, we explain how to
install and test Open source Risk Engine

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How to install and test Open source Risk Engine
(ORE) in Visual Studio 2022
using the package manager vcpkg and CMake as a way to build the library.

We will provide you with step-by-step instructions on:
00:00 Introduction
02:11 Chapter 1 - How to download, install & configure vcpkg
05:10 Chapter 2 - How to download & build ORE
with CMake in VS with the "Open/Folder" option
10:05 Chapter 3 - How to run one of ORE examples

Files Configuration

Trades XML Files

In this video, we walk you through
the ORE XML trade detail specification

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In the context of ORE, these XML capture
the individual trade economics for any type
of OTC derivatives instrument.In particular,
we show a few examples of trades and their most common structure:
- Interest Rate Swap
- Equity Swap
- Bond Total Return Swap (TRS)
- Credit Default Swap (CDS)
- FX Forward- Equity Forward
- European Equity Option
- Interest Rate European Swaption
- Index CDS Option
- Equity_Digitial Option
- Equity OneTouch Option
- Equity European Barrier Option
- Cross Currency Swap Amortising

How to change the reporting currency?

In this video we explain how to change
the reporting currency when pricing a trade

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To illustrate how this works, we use data from the video "TA001 - Equity Option with Implied Volatility Surface" which is in EUR, then we configure the inputs files and finally, we add the required market data for a USD collateralization. This involves adding the followings curves in curveconfig.xml and todaysmarket.xml and all the corresponding market data in the marketdata.txt file:
- 1 EUR-USD Cross-Currency Curve
- 1 USD Discounting Curve
- 1 USD Projecting Curve
- 2 new EUR Projecting Curves

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

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It is recommended to watch this video when starting to learn about ORE as it gives a good overview of all the files involved when performing any analysis, from simple NPV to more complex CVA (some additional files are needed in this situation though).
There are 3 parts talked about for the master file:
- Setup: This part contains general information about the date of the calculation, the location of the input/outputs files, the verbosity of the log file...

- Markets: This part is useful when a specific market configuration needs to be created

- Analysis: This part provides information about the type of analysis that needs to be performed

Trades & Analytics

Interest Rate Swap

In this video, we explain how to setup
ORE to price an interest rate swap.

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In particular, we describe the following inputs files:
- Master (or ore.xml)
- Todaysmarket
- Curveconfig
- PricingEngine
- MarketData

Equity Option with Implied Volatility Surface

In this video, we explain how to setup ORE
to price an equity option with implied volatility.

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How to set up ORE to calculate the NPV of an equity option with implied volatility surface.
This is a good video to watch for beginners as it goes into a bit more detail regarding the connection between all input files than the pricing videos that will be produced next.

Technical Finance

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Finance & Accounting Case Studies

Market Risk and IFRS reporting support for a specialist German bank

Engagement Goal:

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.

Project Description:

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.

Introduction to the Open Source Risk Project

Learn more with ORE Academy

Quantitative Derivatives Pricing and Risk Modeling Program

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Meet our Quant Services team and learn about their expertise