Quant ServicesOpen Source Risk Engine

Open Source Risk Engine

Open source software for pricing and risk analysis

The risk analytics platform that global financial institutions rely on

The Open Source Risk project is a transparent, peer-reviewed, free-to-access framework for pricing and risk analysis. It serves as a benchmarking, validation, training and teaching reference and an extensive foundation for tailored risk solutions.

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Open Source Risk Engine

Setup & Information

What is ORE?

In this video, we give an overview of what is Open-source Risk Engine (ORE):
- How it was created (i.e. its history....Watch Video >

How to install ORE?

In this video, we explain how to install and test Open source Risk Engine (ORE) in Windows. This is the first video that anyone should watch when wanting to install ORE. This involves the download of ORE repository....Watch Video >

Files Configuration

Trades XML Files

In this video, we walk you through the ORE XML trade detail specification, which serves as the primary input into ORE’s pricing and risk calculations. In the context of ORE, these XML capture the individual trade economics for any type of OTC derivatives instrument.....Watch Video >

How to change the reporting currency?

In this video we explain how to change the reporting currency (i.e. the currency in which the trades are collateralized) when pricing a trade. While this seems trivial, it becomes quite complex when .....Watch Video >

General Configuration & Master File

In this video, we explain the general setup of ORE and in particular, how the master file (usually called 'ore.xml') contains all information regarding the other input files. It is recommended to watch this video when starting to learn.....Watch Video >

Trades & Analytics

Interest Rate Swap

In this video, we explain how to setup ORE to price an interest rate swap. In particular, we describe the following inputs files:- Master (or ore.xml)....Watch Video >

Equity Option with Implied Volatility Surface

In this video, we explain how to setup ORE to price an equity option with implied volatility. This is good video to watch for beginners as it goes a bit more in detail regarding the connection between.....Watch Video >

Technical Finance

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Introduction to the Open Source Risk Project

Find out more about Open Source Risk and how it can help you and your firm.