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.
Setup & Information
What is ORE?
In this video, we give an overview
of what is Open-source Risk Engine (ORE):
... more
How to install ORE?
In this video, we explain how to
install and test Open source Risk Engine
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Files Configuration
Trades XML Files
In this video, we walk you through
the ORE XML trade detail specification
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How to change the reporting currency?
In this video we explain how to change
the reporting currency when pricing a trade
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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
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Trades & Analytics
Interest Rate Swap
In this video, we explain how to setup
ORE to price an interest rate swap.
... more
Equity Option with Implied Volatility Surface
In this video, we explain how to setup ORE
to price an equity option with implied volatility.
... more
Technical Finance
What is Open Source Risk Engine (ORE)?
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.
Sign up here to stay informed of the latest ORE developments.
Following the 10th 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 Analytics
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.
Other services you might be interested in
Introduction to the Open Source Risk Project
Watch this short video to learn more about the Open Source Risk Project. 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.
Check out the ORE Academy for a full library of learning materials to discover all the possibilities within ORE.
Quantitative Derivatives Pricing and Risk Modeling Program
Master key analytical and decision-making skills in just six months, and elevate your career.
Acadia has partnered with Northeastern University to offer the opportunity to join an online program tailored specifically to enhancing your risk capabilities, allowing you to create or further your career in the derivatives industry. Participants can join from any global location.
