Securities Finance Industry News | Acadia updates its ORE risk engine

Acadia has released a set of upgrades to its Open Source Risk Engine (ORE), a free platform for derivatives pricing and risk analysis.

This ORE solution is an open source project that was originally launched in 2016 and is now in its seventh iteration, providing a core component of Acadia’s risk services, including its Initial Margin Risk Generator (IMRG) ).

Acadia plans to gradually introduce upgrades to this risk solution in quarterly stages on all types of derivatives supported by the service, including commodity, credit, interest rate and income derivatives fixed, as well as hybrid products represented using scripted payments.

ORE is based on QuantLib, an open-source library for quantitative finance.

Commenting on these developments, Acadia’s Quantitative Services Co-Head, Roland Lichters, said, “With the quarterly release of ORE, we are ensuring that contemporary pricing and risk analysis remains up-to-date, state-of-the-art and regularly breathed new life in. With these contributions over the next year, Acadia will achieve a fully transparent and open representation of derivatives covered by IMRG, if not the financial market.

“Acadia has taken another step towards full transparency in its IMRG methodology by bringing a significant range of exotic equity and currency derivatives to ORE. This module in ORE now covers almost the full range of Equity/FX derivative types seen across all clients of the service,” concludes Lichters.

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