A collection of ORE related materials to share with the community.
The repository is composed of 2 files, at the moment:
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Product_Pricing_Engine_Generator_(Web_Version).xlsb in ORE Academy\Files Configuration\FC004 – Product-Model-Engine Combinations This file contains the product-model-engine combinations available in ORE. Depending on the combination chosen, the user is also able to parametrize all relevant settings allowed by this combination and to generate the XML node for the pricingengine.xml file
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EQ_Option_Calibration-IR_Bootstrapping_and_EQ_Volatility in ORE Academy\Trades & Analytics\TA003 – Equity Option Calibration This file allows the user to calibrate and price an equity option with implied volatility surface, completely replicating what is done in ORE C++ repository. It is completely self-contained and notably allows for the full construction of a discounting curve through OIS instruments bootstrapping.