Valuations
Acadia's ORE (Open Risk Engine)-based platform provides valuations across all asset classes including Interest Rates, Foreign Exchange, Credit, Inflation and Commodities and supports all standard and non-standard derivatives.
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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 >
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 >
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 >
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 >
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 >
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 >
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 >
Engagement Goal:
We were tasked with implementing a pricing engine for structured investments as well as their entire derivatives portfolio.
Project Description:
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.
Engagement Goals:
Quaternion Quant Services were hired to quantify “in-the-money” features of existing CSAs as basis for upcoming CSA renegotiation.
Project Description:
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.
Engagement Goals:
Quaternion Quant Services implemented a CSA valuation platform and variation margin forecasting tool.
Project Description:
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.
Watch this short video to learn more about the Open Source Risk Project and Open Source Risk Engine (ORE). Roland Lichters, formerly Co-Founder of Quaternion and now Co-Head Quantitative Services at Acadia walks you through ORE's history, project and analytics scope and demonstrates how to get started quickly with ORE.
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