Acadia announced the 12th release of its Open Source Risk Engine (ORE), a peer-reviewed, free-to-access framework for pricing and risk analysis. ORE is based on QuantLib, the open-source library for quantitative finance, and grew from work developed by market professionals and academics.
The newest release of ORE completes a financial instrument rollout across all risk classes covered by the service – commodity derivatives, credit derivatives, interest rate and bond derivatives, as well as complex hybrid products represented using scripted payoffs. The latest release also brings significant extensions of market risk and initial margin analytics – stress testing in the par rate domain, historical simulation VaR, backtesting, P&L and P&L explain, XVA stress testing and sensitivity analysis.
Furthermore, it marks the beginning of performance boosts by allowing the use of Adjoint Algorithmic Differentiation (AAD) to compute sensitivities, and supporting the use of graphics cards (GPUs) to parallelize computations.
Roland Lichters, Acadia co-head of Quantitative Services, said in a statement: “The latest release is another step towards a fully transparent engine that covers Market Risk and Credit Exposure measurement, pricing and XVA across the wide range of derivatives in ORE, suitable for both production and model validation use in these areas”.