Open-source technology plays a central role in the post-trade environment, equipping firms with cutting edge pricing and analysis capabilities. Access to these capabilities has never been more critical as the trading environment grows more complex, with trading volumes increasing, transactions accelerating, and the needs of market participants evolve at pace.
Post Trade Solutions’ Open-Source Risk Engine (ORE) is a free-to-access simulation engine for pricing, risk, and valuation, assists firms in managing derivatives and other traded products. It enables scenario analysis, portfolio pricing, and model validation, offering transparency, flexibility, and control without the complexity of proprietary systems.
Post Trade Solutions has now rolled out the 15th release of ORE. Version 15 contains updates to existing capabilities, the introduction of new functionalities, an enhanced user experience, and greater customisability.
A foundation that continues to evolve with user needs
At the core of version 15 lies an upgrade to QuantLib v1.41, the latest release of the open-source quantitative finance library on which ORE is built. This integration delivers smoother performance, greater consistency, and ensures ORE continues to meet the evolving needs of financial institutions worldwide.
Enhanced analytical insight
Should users want to undertake an optional correction to exposure net present value (NPV) cubes to match against NPVs from pricing analytics, the latest version of ORE now offers an exposure cube NPV overlay.
In addition, ORE 15 also enhances analytical insight for users on a retrospective basis. The Hull White n-Factor model can now be calibrated to historical rate curve moves, strengthening the platform’s simulation capabilities.
Meanwhile, American Monte Carlo (AMC) model support has also been extended to several additional instruments including GenericBarrierOptions, FXDgitialOptions, FXEuropeanBarrierOptions, FXDoubleBarrierOptions, FXBarrierOptions, and FXKIKOBarrierOptions.
The latest ORE update also enables flat-forward interpolation for commodity price curves, providing more accurate and stable pricing between known data points.
Other enhancements to ORE’s analytical functions include the introduction of volatility smile outputs in additional results for variance swap replication engines and the ability to undertake sticky SABR sensitivity calculations.
Improved reporting capabilities
As part of the latest version of ORE, users can now also generate rate curve cashflow reports. This new reporting functionality enables users to get a more comprehensive view of expected future payments, exposure commitments, and validate curve constructions.
Increased customisability
Many of the enhancements included in the latest update are centred around customisability, highlighting Post Trade Solutions’ ongoing commitment to making ORE a bespoke, customer-first solution.
The latest update supports users to configure their use of indexed and par IBOR coupons respectively for curve building and trade pricing, improving pricing accuracy, curve consistency, and model flexibility. Further, as part of par conversions, users also benefit from improved consistency with other systems, as they can use multiple conventions for a single instrument type.
Additional benefits included in the latest release comprise a start delay for inflation helpers, the addition of month/day counters for inflation, and new pillar choices for “StartDate”, “StartAndEndDate”, and “None” when configuring rate curves.
Community at the heart of innovation:
Since its inception in 2016, ORE has evolved through continuous feedback from its global user base. Each release reflects direct collaboration with practitioners, academics, and developers committed to advancing open, high-quality risk analytics for all.
Version 15 is the result of an ongoing dialogue between our expert team of developers and the global community of ORE, ensuring the platform continues to remain truly user-first. The latest series of updates increase customisability, enhance analytical precision, and improve the user experience
Scott Sobolewski
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