Valuations
A tailored valuations platform
A state-of-the-art valuations platform for all derivatives
Acadia's ORE (Open Risk Engine)-based platform provides valuations across all asset classes including Interest Rates, Foreign Exchange, Credit, Inflation and Commodities and supports all standard and non-standard derivatives.
Setup & Information
What is ORE?
In this video, we give an overview
of what is Open-source Risk Engine (ORE):
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How to install ORE?
In this video, we explain how to
install and test Open source Risk Engine
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Files Configuration
Trades XML Files
In this video, we walk you through
the ORE XML trade detail specification
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How to change the reporting currency?
In this video we explain how to change
the reporting currency when pricing a trade
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General Configuration & Master File
In this video, we explain the general setup
of ORE , how the master file contains
all information regarding the other input files
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Trades & Analytics
Interest Rate Swap
In this video, we explain how to setup
ORE to price an interest rate swap.
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Equity Option with Implied Volatility Surface
In this video, we explain how to setup ORE
to price an equity option with implied volatility.
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Technical Finance
Specialist Expertise
- Provide tailor-made valuation platform, seamlessly integrated into a client’s IT infrastructure
- Specialized Consulting Services
- Valuation in context of IBOR Transition
- Valuation as a service via the Acadia product offering
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Valuations Case Studies
Valuation Platform for Global Asset Manager
Engagement Goal:
We were tasked with implementing a pricing engine for structured investments as well as their entire derivatives portfolio.
Project Description:
Quaternion Quant Services implemented an engine for pricing highly structured investment products in the fixed income class. These products had hybrid features, such as inflation, FX and credit, which added to the complexity. In a later project phase, the team extended the Open Source Risk Engine (ORE) to cover the asset manager’s entire derivatives portfolio, which further reduced the cost of external pricing services.
CSA valuation for European Restructuring Bank
Engagement Goals:
Quaternion Quant Services were hired to quantify “in-the-money” features of existing CSAs as basis for upcoming CSA renegotiation.
Project Description:
Quaternion’s client was approached by a large group of dealer counterparties seeking to restructure old-style CSA agreements. The client had a large outstanding variation margin (double-digit billion EUR) and wanted to realize the value mainly contained in the collateral interest floors of its CSAs. Our Quant Services team was engaged to calculate the value of the “in-the-money” features of the client’s CSAs and hence verify independently that the compensation offered by counterparties was fair. The portfolios totaled several thousand Swaps, FX Swaps, Bermudan Swaptions, Inflation Swaps, BMA Swaps, CDS, and other types of structured products. Based on Quaternion’s valuations, the client was able to realize a triple digit million Euro amount in compensation across all portfolios.
CSA valuation for German Mortgage Bank
Engagement Goals:
Quaternion Quant Services implemented a CSA valuation platform and variation margin forecasting tool.
Project Description:
In the context of its CSA renegotiation, the client engaged Quaternion for the implementation of a CSA valuation tool that priced the value of its CSA’s features under renegotiation, mainly the collateral interest rate floors. Quaternion implemented its Open Source Risk Engine (ORE) into the client's IT infrastructure, building the trade and market data interfaces from the front office systems. Based on the ORE calculations, the client successfully renegotiated the affected CSAs. The client subsequently introduced ORE+ as a forecasting tool for variation margin to support its daily liquidity management process.
Introduction to the Open Source Risk Project
Watch this short video to learn more about the Open Source Risk Project. Roland Lichters, formerly Co-Founder of Quaternion and now Co-Head Quantitative Services at Acadia walks you through ORE's history, project and analytics scope and demonstrates how to get started quickly with ORE.
Check out the ORE Academy for a full library of learning materials to discover all the possibilities within ORE.
Quantitative Derivatives Pricing and Risk Modeling Program
Master key analytical and decision-making skills in just six months, and elevate your career.
Acadia has partnered with Northeastern University to offer the opportunity to join an online program tailored specifically to enhancing your risk capabilities, allowing you to create or further your career in the derivatives industry. Participants can join from any global location.
