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22 September 2022
Acadia has released a set of upgrades to its Open Source Risk Engine (ORE), a free-to-user platform for derivatives pricing and risk analysis.
This ORE solution is an open source project that was initially launched in 2016 and is now in its seventh iteration, providing a core element of Acadia’s risk services, including its Initial Margin Risk Generator (IMRG) risk sensitivity tool.
Acadia plans to phase in upgrades to this risk solution in quarterly steps across all derivatives types supported by the service, including commodity, credit, interest rate and fixed income derivatives, along with hybrid products represented using scripted payoffs.
ORE is founded on QuantLib, an open-source library for quantitative finance.
Commenting on these developments, Acadia co-head of quantitative services Roland Lichters says: “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. With 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.”
“Acadia has taken another step towards full transparency of its IMRG methodology by contributing a significant range of exotic Equity and FX derivatives to ORE. This module in ORE now covers almost the entire range of Equity/FX derivative types seen across all service clients,” concludes Lichters.
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