Post Trade
Open-source technology continues to redefine the financial landscape, providing firms with access to sophisticated analytics and simulation tools at little or no cost. In the post-trade environment, these benefits are particularly pronounced. Post Trade Solution’s Open-Source Risk Engine (ORE) – a free-to-access simulation engine for pricing, risk, and valuation – has become a vital resource for firms 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.
As the trading environment grows increasingly complex, the need for flexible, transparent and high-performing risk tools has never been greater. In response, Post Trade Solutions has released the 14th version of ORE, delivering a series of enhancements that strengthen its analytical precision, expand its instrument coverage, and further align it with industry practice.
Building on a stronger foundation
At the core of version 14 lies an upgrade to QuantLib v1.40, 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.
In addition, the development team has resolved more than 100 tickets since the last release, addressing user feedback and fine-tuning the platform for greater stability and accuracy across all use cases.
Expanded modelling for fixed income and commodities
This release extends ORE’s analytical reach across a range of new products and market segments. Support has been introduced for American-style options on commodity futures, enabling finite-difference based pricing of these complex derivatives. Users can now also model callable bonds and bond derivatives, including forwards, total return swaps and options on callable bond underlyings, with the same precision and flexibility as other fixed-income instruments.
Enhancements to bond futures introduce support for the Cheapest-to-Deliver feature and total-return swaps on bond futures, while the addition of rounding conventions for commodity floating legs ensures valuations are aligned with market norms. Together, these developments continue ORE’s evolution into one of the most comprehensive open-source frameworks available in risk management.
Greater precision in calibration and analytics
Version 14 also introduces improvements designed to refine calibration, strengthen modelling consistency, and expand analytical flexibility. A new global rate-curve bootstrapping capability allows users to apply a global optimiser across single or multiple interdependent curves, improving accuracy in complex yield-curve construction.
Further enhancements include delta-gamma adjusted calibration for swaptions and refined overnight index swap (OIS) AMC exposure modelling through improved regression techniques.
Meanwhile, ORE’s correlation analytic framework now enables users to generate correlations from historical scenarios and optionally integrate these into XVA analytics, offering a more dynamic and data-driven approach to exposure and valuation adjustment. Improved error reporting rounds off the release, ensuring missing fixing ID errors are now automatically attributed to trade IDs, streamlining debugging and improving transparency.
A community-driven approach
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.
Scott Sobolewski, Head of Quantitative Services at Post Trade Solutions, LSEG, commented: “Version 14 is the result of continued collaboration between our team and the wider community of ORE users. These updates deliver not only technical refinement but also greater usability in how risk and pricing are modelled.”
He continued: “By keeping ORE open and accessible, we’re ensuring that high-quality risk analytics remain within reach of every institution, not just those with the budget to build or buy proprietary tools. This is how innovation in finance should work: transparent, collaborative, and designed to serve the entire market.”
Version 14 is the result of continued collaboration between our team and the wider community of ORE users. These updates deliver not only technical refinement but also greater usability in how risk and pricing are modelled.
Scott Sobolewski
He continued: “By keeping ORE open and accessible, we’re ensuring that high-quality risk analytics remain within reach of every institution, not just those with the budget to build or buy proprietary tools. This is how innovation in finance should work: transparent, collaborative, and designed to serve the entire market.”
About ORE
ORE is based on QuantLib, the leading open-source library for quantitative finance, and was developed by market professionals and academics to make high-quality pricing and risk analytics freely accessible. It is offered to the community as part of Post Trade Solutions’ commitment to transparency and innovation across the post-trade landscape.
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