September 29, 2020

IBOR Replacement and ORE Video

This 30 min video continues our series of introductory web seminars on the Open Source Risk Engine (ORE).

Dr. Roland Stamm, a Partner at Quaternion, presents the current state of the transition away from IBOR rates to the new risk-free benchmarks like €STR and SOFR. He then shows how ORE XML has been made ready for representing products based on the new rates, and where these changes are reflected in the ORE User Guide. For an introduction on ORE XML see our first video on the topic by our Principal Scott Sobolewski.

Read Full Publication
Chevron Icon
Download PdF
Chevron Icon

Share this

Other Publications

GMM DCKE - Semi-Analytic Conditional Expectations
August 12, 2021
Read now >
Dynamically Controlled Kernel Estimation
April 20, 2021
Read now >
Financial Modelling - with Matlab source
April 4, 2021
Read now >