The Open Source Risk project aims at establishing a transparent peer-reviewed framework for pricing and risk analysis that can serve as
- a benchmarking, validation, training, teaching reference
- an extensible foundation for tailored risk solutions
Open Source Risk Engine (ORE) provides
- contemporary risk analytics and value adjustments (XVAs)
- interfaces for trade/market data and system configuration (API and XML)
- simple application launchers in Excel, LibreOffice, Python, Jupyter
- various examples that demonstrate typical use cases
- comprehensive test suites
ORE is based on QuantLib, the open source library for quantitative finance, and it extends QuantLib in terms of simulation models, financial instruments and pricing engines.
ORE is sponsored by Quaternion Risk Management as part of the firm's commitment to transparency in pricing methods and risk analytics applied in the industry. ORE is free/open software, provided under the Modified BSD License, which permits using and modifying the code base as well as incorporating it into commercial applications.
A detailed User Guide is provided that covers
- installation instructions
- description of how to run the examples and which results to expect
- trade and market data structure
- application configuration
- methodology overview
The source code is documented in doxygen, the API reference is available on the OpenSourceRisk project site.
Open Source Risk Engine (ORE) is
Copyright (C) 2016, 2017, 2018, 2019 Quaternion Risk Management Ltd. All rights reserved.
Redistribution and use in source and binary forms, with or without modification, are permitted provided that the following conditions are met :
Redistributions of source code must retain the above copyright notice,
this list of conditions and the following disclaimer.
Redistributions in binary form must reproduce the above copyright notice,
this list of conditions and the following disclaimer in the documentation
and/or other materials provided with the distribution.
Neither the names of the copyright holders nor the names of the Open Source
Risk Group or its contributors may be used to endorse or promote products
derived from this software without specific prior written permission.
THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT HOLDERS OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.