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Examples

Readme.md

ORE Examples

This section contains ~80 ORE use cases grouped by topics to facilitate navigation. Each topic contains various examples described in the respective topic directory. The original numbered examples (Example_1, Example_2, ...) are still available for reference and have been moved to the "Legacy" subdirectory.

Change to each of the directories and check out the Readme.md therein for summary and instructions:

  • Academy: Basic ORE Academy examples, with minimal configuration

  • MinimalSetup: Example showing the minimal configuration required for pricing (market data, todays market, curve config, conventions) legacy example 14

  • Products: Demonstrate ORE's product coverage across asset classes, 130+ products, vanilla and complex

  • CurveBuilding: Consistency check that market instruments are repriced correctly after bootstrap, demo several curve building features; legacy examples 26, 28-30, 49, 53, 59

  • MarketRisk: Sensitivity, Stress Testing, Par Conversion, Parametric and HistSim VaR, P&L and P&L Explain, Market Risk Capital (SMRC); legacy examples 15, 22, 40, 50, 57-58, 62-63, 68-69, 77

  • InitialMargin: ISDA SIMM and IM Schedule, Dynamic Initial Margin via Regression and Dynamic Delta VaR; legacy examples 13 and 44

  • Exposure: Uncollateralised exposure simulation, product by product, mainly vanilla, demo various simulation features legacy examples 1-9, 11-12, 16-17, 23-25, 32-38, 64

  • ExposureWithCollateral: Impact of Variation Margin and CSA details, Impact of Initial Margin legacy examples 10, 31, 72

  • ScriptedTrade: Introducing the Scripted Trade framework legacy example 52

  • AmericanMonteCarlo: Fast and accurate Exposures using AMC, selected vanilla and complex products; legacy examples 39, 54, 55, 60, 73, 75

  • XvaRisk: Sensitivity, Stress Testing, P&L Explain, CVA Capital (SA-CVA and BA-CVA); legacy examples 67, 68, 70

  • CreditRisk: Credit Portfolio Model, Derivatives Credit Risk Capital (SA-CCR); legacy examples 43, 68

  • Performance: NPV and CVA Sensitivities using AAD and using bump & reval with GPU parallelization; legacy example 41, 56, 61

  • ORE-Python: Python Wrapper covering ORE libraries and QuantLib legacy example 42

  • ORE-API: ORE Web Service prototype using ORE-Python legacy example 0

See the ORE User Guide for a discussion of the examples and expected results.