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.
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Following the 7th release of ORE, Acadia has set out a roadmap of contributions to the financial instruments covered. View the roadmap for the next four quarters here.
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.