Open-Source Risk Engine 17th Release. Delivering enhanced risk analytics for an evolving market

As trading strategies and solutions continue to evolve, today’s market leaders need risk analytics that can keep pace and help keep their firms ahead.

Post Trade Solutions’ Open-Source Risk Engine (ORE) has long been a cornerstone of collaboration and innovation in the post-trade ecosystem, offering users a way to effectively manage complex pricing, risk and valuation for derivatives and other traded products. 

With the 17th release of ORE, the platform now features a broad range of enhancements across risk analytics, instrument coverage and pricing, market data and reporting. These updates deliver more comprehensive and dynamic analytical capabilities for ORE’s growing global user base.

At the heart of ORE 17 is a series of enhancements designed to make risk calculations and analysis faster, more accurate, and more detailed.

With the latest release of the platform, stress scenario calculations have been enhanced with the addition of date shifts and a refactored theta calculation, providing users with greater flexibility when assessing the impact of changing market conditions over time. ORE 17 also introduces sensitivity-based historical Value at Risk (VaR), providing users with an additional approach to assessing portfolio risk based on historical market movements. Enhancements to sensitivity calculations for interest rate caps and commodity options also enable more reliable risk sensitives and improve the way their risk is measured where sticky moneyness assumptions are applied.

The platform also strengthens and increases accuracy for margin analytics, adding stressed SIMM analysis and support for SIMM 2.8+2512, giving users greater flexibility when assessing risk and margin requirements across current and stressed market conditions. Additionally, an adjustment to Dynamic Initial Margin (DIM) scaling improves calculations in scenarios where collateral is held without an initial margin balance.

To support this analysis, multithreading has been introduced for stress analytics. Performance improvements have also been made to regression analysis within the American Monte Carlo Conditional Gaussian (AMC-CG) framework, while a CUDA-based variant of qrSolve() is now supported for AMC training, allowing users to make complex calculations more efficient and scalable.

ORE 17 now also supports averaging coupons for single-currency synthetic swaps in par conversion, as well as money market and overnight interest rate futures, enabling more instruments to be converted into standardised market-risk terms.

Lastly, the latest release also introduces path-level additional results reporting for scripted trades, providing greater visibility into how individual simulated scenarios contribute to analytical results.

Importantly, ORE 17 also expands the range of products and pricing requirements that are supported with ORE, enabling more firms to benefit from the open-source platform as its global community continues to grow.

New functionality includes a callable variant of the range accrual instrument and pricer, a fixed-strike forward volatility agreement, and options on bond futures. Together, these updates broaden instrument coverage for the platform, reducing the need for disparate tools or models for clients with diverse portfolios.

To strengthen support for more complex risk calculations, ORE 17 includes complete coverage of AMC for scripted trades. It also includes support for XVA calculations for Risk Participation Agreements (RPAs) on both vanilla and structured underlyings and calibration to effective swaptions for RPA pricing on structured underlyings, enabling risk analysis to be applied to RPA structures, including those with complex underlying trades.

Further enhancements include the addition of overnight compounded rate rounding and greater flexibility in configuring payment timings or delays within trade schedules, giving users more flexibility and accuracy in aligning with the real economics of trade activity. ORE 17 also features the addition of call-spread-based pricing for FX digital options.

ORE 17 introduces a range of market data and reporting enhancements, providing users with greater flexibility and visibility across risk analysis.

The latest edition adds support for contract month codes across money market and overnight interest rate futures, enabling a more standardised way to identify futures contracts. Importantly, the label update for overnight index futures represents a breaking change that existing users should take into account, as existing configurations may need to be updated.

ORE 17 also adds a market calibration report for default curve calculations and a new logCubic interpolation for scenario simulations, providing greater visibility into calibration results. Further updates include an updated Israeli shekel (ILS) calendar and support for intraday power curves.

ORE’s interfaces and reporting capabilities have also been enhanced, with broader SWIG coverage to support integration with other programming languages and the addition of base currency information to scenario and stress test reports to make reports easier to interpret for users. 

To enhance usability for the platforms’ expanding user community, ORE 17 also improves error reporting for Linux and macOS and offers greater control over the information included in scenario outputs. Importantly, it also incorporates a range of bug fixes and technical improvements to further enhance the platform’s overall performance and usability.

ORE 17 represents another step forward in the platform’s evolution, combining comprehensive analytics with broader instrument coverage, enhanced pricing capabilities, and greater flexibility and usability across market data and reporting.

The latest release reflects Post Trade Solutions’ continued commitment to providing market participants with transparent, flexible risk analytics that can evolve alongside the increasingly complex market.