LSEG Updates Post-Trade Open Source Tool

LSEG says its Post Trade Solutions unit has released an update to its Open Source Risk Engine (ORE) – the 13^th iteration of the tool.

The firm says at a time when the trading environment is becoming increasingly complex, it is critical that solutions like these stay at the forefront of innovation and adapt based on user feedback. The latest update includes a series of changes designed to improve user experience, and include an overhaul of ORE’s repository of example use cases, and a prototype of a new ORE wrapper that covers Excel, Python, and Restful API in a consistent framework.

The update also features improvements to QuantLib (the open source library for quantitative finance upon which ORE is based) – including bug fixes and “a significant speed up” in historical fixing loading. A new XVA framework supporting fast calculation of XVA sensitivities and dynamic ISDA SIMM™ modelling using adjoint automatic differentiation (AAD), is also now available. 

Previously, ORE only supported whole-coupon exercises in swaptions and callable swaps, but the update means it now also supports mid-coupon exercises, a common feature in hedging strategies, significantly improving the accuracy of valuation and risk metrics for these instruments.

Additional enhancements include the expansion of the American Monte Carlo simulation framework into equity trades, extending its capabilities beyond the previously supported interest rate and FX trades. The update also introduces enhancements to the stress testing module, which now supports the output of cashflows under stress scenarios, in addition to Net Present Values (NPVs). This allows users to refine their analyses of stress scenario results.   

“These updates have been the result of an ongoing effort by our dedicated team to enhance the software in line with user feedback,” says Scott Sobolewski, co-head of quantitative services at LSEG’s Post Trade Solutions. “If we’re to achieve the most efficient post trade landscape, then powerful, transparent and cutting-edge pricing and risk analysis functionalities must be accessible to all – not just to firms with the resources to build or buy expensive solutions. Even where that budget exists, such solutions may not necessarily be the best way forward for all firms. With the latest update to ORE, we’re ensuring that these critical capabilities remain accessible and competitive for all firms.”