Acadia, the leading industry provider of integrated risk management services for the derivatives community, has announced the sixth release of its Open Source Risk Engine (ORE 6).
ORE is an Open Source Software project, designed for contemporary pricing and risk analytics of traded financial products. It was first released by Quaternion, a division of Acadia, as open-source software in 2016.
The latest version of the project builds upon a transparent peer-reviewed framework intended to serve use cases such as benchmarking, validation, training, as well as acting as an extensible foundation for in-house and vendor solutions.
“Acadia sponsors the Open Source Risk Engine as part of our commitment to improving the transparency of risk analytics,” said Roland Lichters, Co-Head of Quantitative Services at Acadia. “The release of ORE 6 will accelerate our ability to standardize process, data and now risk calculations across the market, allowing for widespread automation while reducing risk.”
Many buy-side firms use ORE as a blueprint and extensible foundation for tailored pricing and risk solutions in areas such as valuation, X-Valuation Adjustments, model validation and collateral management. With the new release of ORE, Acadia clients have the ability to validate initial margin calculations by reviewing and testing key components of ORE, such as curve building, and run valuations and sensitivity analysis using the client’s rather than Acadia’s market data feeds.
In the advent of Phase 5 of the Uncleared Margin Rules, 60+ of Acadia’s clients are now using ORE for compliance to the rules within Acadia’s risk services which cover a full range of asset classes and two forms of backtesting – static and dynamic.
The new release strengthens the instrument and markets coverage, driven by ORE’s use as a core of Acadia’s analytics service and IM Risk Generator product, used by firms impacted by the Uncleared Margin Rules. New additions to ORE Version 6 include:
- Asian Equity, FX and Commodity options, Equity futures options, Quanto equity options, digital and duration adjusted CMS legs;
- Support for averaged overnight index linked products;
- Minor currency support, configurable currencies and interest rate and inflation indices in order to facilitate covering e.g. all ISO currencies in ORE;
- Libor fallback support, since the first cessations are approaching end of 2021; and
- Various extensions to curve and volatility surface construction, interpolations, extrapolations
All extensions and fixes within ORE have grown the codebase by 20 percent over the past year, expanding the list of test cases and adding a user guide to facilitate the increased adoption of ORE.
For more information and to install ORE Version 6, visit opensourcerisk.org.
