Acadia Releases 12th Update of Open Source Risk Engine

• New release adds meaningful market risk and IM analytics
• Updates will be presented during the Acadia Quant Summit in June

Norwell, MA: Acadia, a leading industry provider of integrated risk management services for the derivatives community, is excited to announce the 12th release of its Open Source Risk Engine (ORE), a peer-reviewed, free-to-access framework for pricing and risk analysis.

The newest release of ORE completes a financial instrument rollout across all risk classes covered by the service – commodity derivatives, credit derivatives, interest rate and bond derivatives, as well as complex hybrid products represented using scripted payoffs. The 12th release additionally brings significant extensions of market risk and initial margin analytics – stress testing in the par rate domain, historical simulation VaR, backtesting, P&L and P&L explain, XVA stress testing and sensitivity analysis.

Furthermore, it marks the beginning of performance boosts by allowing the use of Adjoint Algorithmic Differentiation (AAD) to compute sensitivities, and supporting the use of graphics cards (GPUs) to parallelize computations.

“We are excited to give the entire industry access to an entirely transparent and open representation of the derivative products covered by our award-winning risk sensitivity calculator, Initial Margin Risk Generator,” said Roland Lichters, Acadia Co-Head of Quantitative Services. “The latest release is another step towards a fully transparent engine that covers Market Risk and Credit Exposure measurement, pricing and XVA across the wide range of derivatives in ORE, suitable for both production and model validation use in these areas”.

Leaders from Acadia’s Quants team will present a masterclass at the Acadia Quant Summit London 2024 on Wednesday, June 5. The session aims to provide valuable teaching for people new to ORE as well as those who are already utilising the software. Acadia will offer an introduction to the different modules and cover some more recent developments including CVA sensitivities with AAD and ORE acceleration with GPUs.

ORE is based on QuantLib, the open-source library for quantitative finance, and grew from work developed by market professionals and academics. As part of the program’s roadmap ORE’s SWIG language bindings facilitate integration of ORE with applications written in Python or Java. It is offered to the community free of charge as part of Acadia’s commitment to improve the transparency of risk analytics and to improve accessibility to such tools.

For more information and to install ORE Version 12, visit opensourcerisk.org (opens in new tab).