ORE is an Open Source Software project, designed for contemporary pricing and risk analytics of traded financial products. It was first released by Quaternion (a division of Acadia) as open-source software in 2016. ORE forms the foundation to many Acadia risk services, including IM Risk Generator.
Sign up here to stay informed of the latest ORE developments.
ORE’s analytics cover:
• Financial instrument valuation for a range of derivatives products and bonds across six risk classes (interest rates, foreign exchange, inflation, equity, credit and commodity).
• Market risk analysis, sensitivity analysis, stress testing, Value-at-Risk.
• Credit exposure simulation.
• CSA pricing and XVA calculation.
ORE is flexible and user-friendly
ORE is designed to be accessible to end users and provide:
• A simple command-line application with input/output files.
• Transparent interfaces for trade data, market data, system configuration.
• A detailed user guide with a large range of examples of ORE usage.
The Technical Details
ORE is written in C++ and it is based on QuantLib, the “free/open-source library for quantitative finance”, which in turn depends on the Boost C++ libraries (http://boost.org). ORE provides a hierarchy of libraries for QuantLib extensions, data management and risk analytics which allow full extensibility. ORE’s SWIG language bindings facilitate integration of ORE with applications written in Python or Java.