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OpenSourceRisk
Open Source Risk Engine
Hello, In the User Guide, section 8.2.51 (Index Credit Default Swap) the following is mentioned: > When BasketData is omitted, the index constituents are derived from the CreditCurveId element in...
Hello I try to run both in python and C++ ORE examples on a linux Mint machine I get for example 3 the same error message in python and c++...
Hi, Is there a way to represent cms spread accrual range swap with ORE ? I am excited about playing with scripted trades feature but can't find a way to...
After trying a base currency change, I've discovered some irritating behaviour in the simulation configuration validity checking: I tried to change the base currency to USD by simply changing the...
in case, there was a new trade builder in e.g. OREData/ored/utilities/initbuilders.cpp with ORE_REGISTER_TRADE_BUILDER and one would have needed to overwrite a previous one with the same builder name (i.e. ORE_REGISTER_TRADE_BUILDER(NAME,...
Hi, Just wanted to describe a small inconsistency wrt PAR sensitivity and yield bootstrap for cross currency swap instrument. Example situation is for value date 2024-04-26 for cross currency basis...
Hi, We were looking at making some contributions to the user guide but found it a little difficult with the many (sub-)sections being split a little differently. A few of...
Hi, These two fields are missing from the guide. Adding them makes it easier to generate the correct FX conventions.
Hi! Our IDE (PyCharm) used when developing our integrations against ORE makes a big fuss about the XSDs not including all of their dependencies.
Hi, We find it useful to allow toggling the extrapolation method, which currently would default to 'Flat' for delta skews. The code changes here are borrowed from the commodity delta...