Open Source Risk Engine (ORE)

Detail
See also

The Open Source Risk Engine (ORE) is a C++ library for pricing and risk analytics maintained by Acadia. It builds on QuantLib and extends it with industry-grade XVA, sensitivities, regulatory scenarios, and a broad set of financial instruments. ORE Studio is a graphical wrapper around ORE — it does not modify ORE itself, has no affiliation with the ORE project, and inherits ORE's models, conventions, and limitations as-is. The slice we map into our domain model is described in ORE Model Configuration. Return to External knowledge / Knowledge.

Detail

Where it lives

Upstream — github.com/OpenSourceRisk/Engine.
Project site — opensourcerisk.org (Acadia).
In this repo — vendored under external/ore/ (examples, xsd/ schemas, packages/, methodology.txt). This is a reference copy the build draws against; it is not a fork.

How ORE Studio relates to ORE

ORE Studio:

Imports ORE XML inputs (trade definitions, market data, model configuration, conventions, fixings, calendars, …) into a persistent database.
Drives ORE execution via configuration the user assembled in the GUI.
Renders ORE outputs (NPV, XVA, sensitivities, scenarios) back to the user.

ORE Studio does not:

Reimplement ORE's pricing or risk models.
Modify ORE's source. Patches that belong upstream should be sent there.

What ORE provides

From the ORE README: contemporary risk analytics and value adjustments (XVAs); interfaces for trade/market data and system configuration (API and XML); simple application launchers in Excel, LibreOffice, Python, Jupyter; comprehensive test suites. The full breadth lives in upstream docs; the slices we care about in this project are documented in component-specific knowledge docs (e.g. ORE model configuration).

Versioning

ORE Studio targets the latest version of ORE only. We do not carry patches against older releases; if the latest ORE changes its interface, the v0 version absorbs that and moves on.