The quantlib project is aimed at providing a comprehensive software framework for quantitative finance. Peter caspers, niall osullivan and roland lichters, open risk engine. Contribute to lballabio quantlib development by creating an account on github. Initial margin forecast bermudan swaption methodology. Contribute to lballabio quantlib swig development by creating an account on github. Post by roland lichters i am experimenting with yield curve building in quantlib version 0. Ore user meeting 2018 frankfurt, 23 november 2018 roland lichters, quaternion. Using the url or doi link below will ensure access to this page indefinitely. Ioannis rigopoulos deriscope, a precursor to ore in excel. The open source risk engines objective is to offer open source as the basis for risk modelling and analytics at financial institutions. Roland lichters, peter caspers and niall osullivan announced open risk engine. The second talk was by roland lichters, which told us of how speed is paramount in the cva application he and his team at quaternion develop. Roland lichters is a senior risk management and it professional with extensive experience in senior management positions in wholesale banking stretching over more than ten years. Peter and lichters, roland, initial margin forecast bermudan swaption methodology and case study february 27, 2018.
Please let me know if you still have problem ciao nando on 71806, roland lichters roland. The open source risk projects objective is to provide a freeopen source platform for risk analytics and xva. He also hinted at a q1 release of ore including equity and inflation instruments as well as risk functionality such as var and expected shortfall. Simply connects to a stores wifi and enables use of photos and images on smart phones and tablets. Modern derivatives pricing and credit exposure analysis by roland lichters, 97817494832, available at book depository with free delivery worldwide. Modern derivatives pricing and credit exposure analysis. Ore swig roland lichters, quaternion ore user meeting, frankfurt, 23 november 2018. The presentations can be downloaded shortly from the quantlib web site here. In the last talk of the morning, roland lichters fought bravely with a sore throat to tell us about csa pricing using quantlib, especially in the context of the added complexity and the pricing changes caused by using negative rates for collateral discounting.
Osi certified is a certification mark of the open source initiative 5. Caspers, peter and giltinan, paul and lichters, roland and nowaczyk, nikolai, forecasting initial margin requirements a model evaluation february 3, 2017. As founding partner and cto of quaternion risk management, he focuses besides his consulting and advisory work on the firms pricing and risk analytics products. Roland lichters, american monte carlo for bermudan cva.
Osi certified is a certification mark of the open source initiative the modified bsd license is gpl compatible as confirmed by the free software foundation. Simple to integrate into store environments and offers a. Everything i wrote is probably not very useful to you. In the afternoon, roland lichters presented a use case for the open source risk engine, namely, the calculation of dynamic initial margin and mva. They finetuned quantlib until they could price a swap on a given scenario in 30 microseconds which i thought quite impressive with a full analysis in about 30 seconds, but bermudan swaptions were much. Initial margin forecast bermudan swaption methodology and case study. Portfolio credit risk integrated creditmarket risk, cash and derivative products. Quantlib is noncopylefted free software released under the modified bsd license also known as xfree86style license quantlib is open source because of its license. Hi patel, sorry, i didnt realize you were interested in excel. It grew from work developed on quantlib by market professionals and academics.
Open source risk engine open source risk analytics. By choosing analytically tractable models and by applying some modification to the library, they were able to speed up calculations until it became feasible with the help of a 96core cluster to obtain. Head to our download page to get the latest official release, or check out the. As a head of it, roland was responsible for the deployment of summit as a single system and the integration of the system for front to back processing. American monte carlo for bermudan cva roland lichters ikb quantlib workshop, 4 december 2014. The slides for the talks are available by clicking on their title. Roland lichters has headed bank risk and it departments building teams, processes, pricingrisk methodologies and systems. Quantlib is noncopylefted free software 1 released under the modified bsd license 2 also know as xfree86style license. If the list of instruments contains swaps, i cannot make a piecewise. You should have received a you should have received a copy of the license along with this program. Quantlib is a freeopensource library for modeling, trading, and risk management in reallife. Presentations in bold can be viewed and downloaded.
An easytouse instore software solution for customers creating designs for personalization with roland technology. Roland lichters, roland stamm, donal gallagher 2015. Applied quantitative finance roland lichters, roland stamm. You should have received a you should have received a 16 copy of the license along with this program. Sebastian schlenkrich, multicurve pricing of nonstandard tenor vanilla options in quantlib. Quantlib user meeting, london, 12 july 2016 quaternion risk. Yes it was purely in excel for now so i will follow your suggestion of using the latest version of deriscope. Update and outlook roland lichters quaternion risk management 30 november 2017. This provides both xml schema and xml data examples. Csa pricing roland lichters quantlib user meeting, 30 november 1 december 2015.
Roland lichters presented the quaternion risk engine, a crossasset cva application based on quantlib plus a number of proprietary extensions. Source packages for all platforms are available from bintray in different. Message as html dear all, quaternion sponsors an open source risk engine ore user meeting in. One of the central triggers of the 2008 financial crisis was financial institutions excessive exposure to counterparty risk. The first release will be in september and will be available from github. Appreciated by quantitative analysts and developers, it is intended for academics and practitioners alike, eventually promoting a. Open source risk user meeting 2018 quaternion risk. Quantlib user meeting, london, 12 july 2016 quaternion. Roland lichters has headed bank riskit departments, developing teams, processes, pricing, and risk methodologies and systems.