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.
Valuations Case Studies
Valuation Platform for Global Asset Manager
We were tasked with implementing a pricing engine for structured investments as well as their entire derivatives portfolio.
Quaternion Quant Services implemented an engine for pricing highly structured investment products in the fixed income class. These products had hybrid features, such as inflation, FX and credit, which added to the complexity. In a later project phase, the team extended the Open Source Risk Engine (ORE) to cover the asset manager’s entire derivatives portfolio, which further reduced the cost of external pricing services.
CSA valuation for European Restructuring Bank
Quaternion Quant Services were hired to quantify “in-the-money” features of existing CSAs as basis for upcoming CSA renegotiation.
Quaternion’s client was approached by a large group of dealer counterparties seeking to restructure old-style CSA agreements. The client had a large outstanding variation margin (double-digit billion EUR) and wanted to realize the value mainly contained in the collateral interest floors of its CSAs. Our Quant Services team was engaged to calculate the value of the “in-the-money” features of the client’s CSAs and hence verify independently that the compensation offered by counterparties was fair. The portfolios totaled several thousand Swaps, FX Swaps, Bermudan Swaptions, Inﬂation Swaps, BMA Swaps, CDS, and other types of structured products. Based on Quaternion’s valuations, the client was able to realize a triple digit million Euro amount in compensation across all portfolios.
CSA valuation for German Mortgage Bank
Quaternion Quant Services implemented a CSA valuation platform and variation margin forecasting tool.
In the context of its CSA renegotiation, the client engaged Quaternion for the implementation of a CSA valuation tool that priced the value of its CSA’s features under renegotiation, mainly the collateral interest rate floors. Quaternion implemented its Open Source Risk Engine (ORE) into the client's IT infrastructure, building the trade and market data interfaces from the front office systems. Based on the ORE calculations, the client successfully renegotiated the affected CSAs. The client subsequently introduced ORE+ as a forecasting tool for variation margin to support its daily liquidity management process.