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OpenSourceRisk
Open Source Risk Engine
Hi, We'd like to add these aliases for the SOFR and XPAR calendars. I extended the XSDs and docs (also for the null calendar, currently commented out).
The Boost configuration now includes support for Linux, providing the flexibility to choose between optional static or dynamic linking on this platform. Previously, only shared system linking was feasible. In...
Change enableExtrapolation() to be called before h_.linkTo(p_) so that the correct extrapolation_ value is available in h_'s observers
I'm interested in finding out more about the possibilities of simulating scenarios that do not depend on risk-neutral market estimates (i.e. the default LGM model used by almost all examples)....
I have seen that a new example 43 on bonds has been added . I have this error while running it. Anybody has the same error ? 
Hi there, I've set up a new commodity forward and run standard stuff similar to Example_24. I've noticed that the notional gets set to the present forward price x quantity...
Previous releases have a .zip file available but missing in [v1.8.11.0](https://github.com/OpenSourceRisk/Engine/releases/tag/v1.8.11.0)
Got following error after running runCmakeVS: "C:\Users\rutuj\Engine\build\ALL_BUILD.vcxproj" (default target) (1) -> "C:\Users\rutuj\Engine\build\OREAnalytics\orea\OREAnalytics-x64-mt.vcxproj" (default target) (21) -> "C:\Users\rutuj\Engine\build\OREData\ored\OREData-x64-mt.vcxproj" (default target) (22) -> "C:\Users\rutuj\Engine\build\QuantExt\qle\QuantExt-x64-mt.vcxproj" (default target) (23) -> (ClCompile target) -> C:\Users\rutuj\Engine\QuantExt\qle/math/openclenvironment.hpp(37,10):...
Hello, I am new with Open Risk Engine and would like to run it on a Mint machine(21), with CLion. I get the following compile error (C++ 17): OREData/ored/portfolio/builders/capfloor.cpp:48:1: error:...
