The update offers improved market risk and initial margin analytics, officials say.
Acadia, a provider of risk, margin, and collateral tools for derivatives transactions, has unveiled the 12th release of its Open Source Risk Engine (ORE) that offers advances in market risk and initial margin analytics, officials say.
This latest 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,” according to Acadia.
The new release “brings significant extensions of market risk and initial margin analytics — stress testing in the par rate domain, historical simulation VaR [value at risk], backtesting, P&L and P&L explain, XVA stress testing and sensitivity analysis,” officials say.
“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 the 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 improve accessibility to such tools, according to the vendor’s announcement.
The new release also allows for “the use of Adjoint Algorithmic Differentiation (AAD) to compute sensitivities and supporting the use of graphics cards (GPUs) to parallelize computations,” officials say.
Acadia’s integrated risk management services offer “a holistic risk management strategy on a real-time basis within a centralized industry standard platform,” officials say.
Acadia’s open-access model “brings together a network of banks and other derivatives participants, along with several market infrastructures and innovative vendors,” officials say.
Acadia is used by more than 3,000 firms “exchanging more than $1 trillion of collateral on a daily basis via its margin automation services,” officials say.
Headquartered in Norwell, Mass., Acadia has offices in Boston, Dublin, Dusseldorf, London, New York, Manila, and Tokyo. It is an LSEG Business within the post-trade division.
More information about ORE Version 12 can be found at opensourcerisk.org.
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