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Readme.md

ORE Documentation

Reference Documentation**:

  • User Guide: Start here - introduction, installation instructions, example use cases, parametrisation

  • Products: Full catalogue of supported financial instruments and pricing models, including scripted payoffs

  • Methods: Summary of simulation, xva and risk methods used in ORE

Additional detailed and technical documentation**:

  • Design: Introduction into the internal workings of ORE's stack of libraries

  • American Monte Carlo: Implementation of American Monte Carlo simulation in ORE

  • Scripted Trade: Scripted trade framework, representation of Exotics using ORE's payoff script language

  • Compute Environment: Implementation of ORE's interface to GPUs

  • Credit Model: A proof of concept credit portfolio model implementation in ORE inspired by Credit Metrics, integrating credit and market risk

  • Formula Coupon: Predecessor of the scripted trade framework, supporting composite coupons with multiple indices