New release marks a step towards full transparency of Acadia’s Initial Margin Risk Generator methodology
Additional updates will be provided quarterly
Acadia, the leading industry provider for integrated risk management services for the derivatives community, is pleased to announce the seventh release of the Open Source Risk Engine (ORE), a peer-reviewed, free-to-access framework for pricing and risk analysis.
ORE is an Open Source Software project, designed for contemporary pricing and risk analytics of traded financial products. Since its release in 2016, ORE has formed the foundation of Acadia’s risk services including the award-winning risk sensitivity calculator, Initial Margin Risk Generator (IMRG).
This seventh release is the beginning of a financial instrument rollout that will follow in quarterly steps, across all risk classes covered by the service – Commodity derivatives, Credit derivatives, Interest Rate and Bond derivatives, as well as complex hybrid products represented using scripted payoffs.
“With the quarterly release of ORE, we are ensuring that contemporary pricing and risk analytics remain updated, cutting-edge, and animated with a regular breath of new life. Due to these contributions over the next year, Acadia will achieve an entirely transparent and open representation of the derivative products covered in IMRG if not the financial market,” said Roland Lichters, Co-Head of Quantitative Services.
“Acadia has taken another step towards full transparency of its IMRG methodology by contributing a significant range of exotic Equity/FX derivatives to ORE. This module in ORE now covers almost the entire range of Equity/FX derivative types seen across all service clients,” Lichters added.
ORE is based on QuantLib, the open-source library for quantitative finance, and grew from work developed by market professionals and academics. It is offered to the community free of charge as part of Acadia’s commitment to improve the transparency of risk analytics and to improve accessibility to such tools. The roadmap of ORE contributions for the next year can be viewed here.
For more information and to install OREVersion 7, visit opensourcerisk.org.
