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News.txt
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Changes for the 4th ORE release (1.8.4.1):
============================================
ORE 1.8.4.1 includes the following notable changes, details can be
found in the commits between 11 December 2017 and 28 May 2019.
INSTRUMENTS
- Commodity Forward and Option, see example 5.24
- Equity Swap, see extended example 5.16
- CMS Spread Option (Cap/Floor, Digital Cap/Floor), see example 5.25
MARKETS
- New calendars: Chile, Colombia, Malaysia, Peru, Philippines, Thailand
- New IBOR indexes: CHF SARON, CLP CAMARA, COP IBR, DEM LIBOR, DKK OIS,
NOWA, PHP PHIREF, RUB MOSPRIME, SEK SIOR, THB BIBOR
- New inflation idexes and regions: DKCPI, SECPI
- Equity index added
TERM STRUCTURES
- Cap/Floor smile volatility surface added
- Cross currency basis swap helper (with MtM Reset) added
- Cross currency fixed vs. float swap helper added, see example 5.29
- Discount ratio curves added, see example 5.28
- Correlation term structure added (to support CMS spread products)
ANALYTICS
- KVA added (thanks to Roland Kapl)
UNIT TESTS
- Unit tests suites extended to 429 cases in total
- Data driven tests added in ORE Data
- Now using boost’s automated test suite creation and registration
EXAMPLES
- ORE has 29 examples now vs 23 in the previous release
USER GUIDE
- Extended to 194 pages
BUILDING ORE
- CMake build system added, see end of section 4.2
LANGUAGE BINDINGS
- ORE SWIG projected added, to support ORE in Python,
see https://github.com/OpenSourceRisk/ORE-SWIG
Changes for the third ORE release (1.8.3.0):
============================================
ORE 1.8.3.0 includes the following notable changes, details can be
found in the commits between 5 May and 11 Dec.
INSTRUMENTS
- Credit Default Swaps and FRAs added
MONTE CARLO FRAMEWORK
- Simulation of inflation added
ANALYTICS
- Sensitivity and stress framework extended to Equity, Inflation and Credit
UNIT TESTS
- Unit tests suites extended to 175 cases
EXAMPLES
- ORE has 23 examples now
USER GUIDE
- Extended accordingly, 170 pages
Changes for the second ORE release (1.8.2.0):
=============================================
ORE 1.8.2.0 includes the following notable changes, details can be
found in the commits between 22 March and 4 May.
INSTRUMENTS
- Fixed and floating rate Bonds added
- CPI and Year on Year Inflation Swaps added
- Equity Forwards and Options added
MONTE CARLO FRAMEWORK
- Simulation of equity factors added to the cross asset model and
scenario generation
ANALYTICS
- Sensitivity analysis and stress testing framework added covering all
IR and FX products in ORE
UNIT TESTS
- Unit test suites extended to 139 cases vs 108 in the initial release
EXAMPLES
- ORE has 18 examples now vs 13 in the initial release
USER GUIDE
- Extended accordingly, 148 pages