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OpenSourceRisk
Open Source Risk Engine
Dear all! In an old ORE version (1.6), the VAR analysis was run AFTER the sensitivity analysis, making it possible to run this in one go: ORE starting Reference... OK...
I can successfully build ORE on mac with cmake and QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN=OFF. When QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN=ON, I am getting the following error: **In file included from /Users/quantthingy/SoftDev/ore_releases/Engine-1.8.12.1/QuantExt/qle/indexes/compoequityindex.cpp:19:** In file included from /Users/quantthingy/SoftDev/ore_releases/Engine-1.8.12.1/QuantExt/qle/indexes/compoequityindex.hpp:26: In...
Dear All! When trying to run the parametric VAR calculation, I get an error, I can't really interpret: ... NOTICE [2024-Jul-05 14:04:35.275425] (...cs\orea\engine\marketriskreport.cpp:308) : Start processing for RiskGroup: [All, All],...
Hi, Minimal addition as we need this for some custom calendars defined from external sources. Also took the chance to fix some typos for the WM/R calendar. Side note: We'll...
Trying to build with -DQL_USE_STD_SHARED_PTR=1 option. It's supported by QL, but ORE fails to build. I hope ORE can also move to std::shared_ptr. Atm it's not compiling due to boost...
Dear All! As mentioned in #235 , I've added an additional assertion to improve the feedback on the currency configuration in the cross asset model. Additionally I've added two sentences...
Also corrected some typos in the userguide.
When I'm using multiple indices in scripted trades from different currencies (that require an implicit crcy conversion), the scripted trade code obviously inserts `FX-GENERIC--`. Due to historic reasons with formula...
Hello, I am a risk quant working at a commercial bank in South Korea. Please revise the definitions for the conventions of KRW-CD and KRW-Koribor traded in South Korea as...
Hi, One small display issue in `cashflow` report for an OIS coupon. `fixingDate` column is shown as: `Date fixingDate() const override { return fixingDates_[fixingDates_.size() - 1 - rateCutoff_]; }` Assuming...
