News.txt

Changes for the 10th ORE release (1.8.10.0):
============================================

ORE 1.8.10.0 includes the following notable changes, details can be
found in the commits between April and June 2022.

INSTRUMENTS
- roll out of Hybrid and Credit instruments, thanks to Acadia Inc., as announced in September 22:
  * Collateralized Bond Obligation, see Examples 45
  * Generic Total Return Swap and Contract For Difference framework, see Example 46,
    referencing Bonds, Forward Bonds, Convertible Bonds, CBOs,
    Equity and Equity Option positions, or any combination of derivatives covered in ORE
  * Composite Trade, composites of any ORE trade types, see Example 47
  * Convertible Bond and Asset Swapped Convertible Option Transaction (ASCOT), see Example 48
- support separate fixing and payment date schedules on floating legs
- support notional changes within calculation periods on fixed and floating legs

MARKETS
- Add a new yield curve segment "Bond Yield Shifted", see Example 49

ANALYTICS
- Add a proof-of-concept Credit Portfolio Model to construct portfolio loss distributions due to
  credit migration, credit default and market moves across cash products and derivatives, see Example 43
- Add the ISDA Standard Initial Margin Model (SIMM), all versions since inception, see Example 44
- Fix the Windows builds with QL_ENABLE_SESSIONS=ON (to enable ORE multi-threading on Windows),
  thanks to Steven van Haaren for reporting this issue and triggering this fix. 

TEST
- QuantExt: 267 test functions (vs 263 in the previous release)
- OREData: 206 test functions (vs. 203 in the previous release)
- OREAnalytics: 78 test functions (vs. 68 in the previous release)

DOCUMENTATION
- The user guide has grown from 486 to 537 pages, due to the migration of Hybrid instruments
  into ORE, new analytics and examples 43ff.
- A separate guide for the Credit Portfolio Model in ORE has been added,
  see Docs/UserGuide/creditmodel.tex

LANGUAGE BINDINGS & PYTHON MODULE
- Upgrade to QuantLib-SWIG-v1.30
- Added four of the Jupyter notebooks presented at the Acadia Quant Summit (London 
  see oreswig/OREAnalytics-SWIG/Python/Examples/Notebooks

OTHER
- Upgraded ORE's QUantLib fork to QuantLib-v1.30


Changes for the 9th ORE release (1.8.9.0):
============================================

ORE 1.8.9.0 includes the following notable changes, details can be
found in the commits between December 2022 and beginning of March 2023.

INSTRUMENTS
- roll out of Credit derivatives, thanks to Acadia Inc., as announced in September 22:
  * Bond Option
  * Bond Repo
  * Bond Total Return Swap
  * Credit-Linked Swap
  * Index Credit Default Swap
  * Index Credit Default Swap Option
  * Credit Index Tranche, Synthetic CDO
  including related models and pricing engines
- optimize performance for the analytical Commodity Swaption engine
- add missing FxIndex registrations in Commodity APO and Commodity Indexed Average Cashflows
- include leg NPVs in additional results of CDS products
- fix LGM Swaption pricing for cases where fixing date < exercise date

MARKETS & TERM STRUCTURES
- fix shifted lognormal Swaption vol surface (SwaptionVolCubeWithATM, add missing shift)

ANALYTICS
- integrate American Monte Carlo simulation, see the new Example 39
- add Par Sensitivity Analysis, see the new Example 40
- add more parametric VaR types (delta-gamma normal, delta-gamma Saddlepoint)
- support multi-threading in sensitivity analysis
- support multi-threading in exposure simulation, see the new Example 41
- fix exposure/XVA analytics with simulation of fixings for ceased IBOR indices

TEST
- QuantExt: 263 test functions (vs 242 in the previous release)
- OREData: 203 test functions (vs. 199 in the previous release)
- OREAnalytics: 68 test functions (vs. 66 in the previous release)

DOCUMENTATION
- The user guide has grown from 440 to 486 pages, mainly due to the
  migration of Credit derivative instruments into ORE, as well as new examples 39 - 42.

LANGUAGE BINDINGS
- Upgrade to QuantLib-SWIG-1.29
- The SWIG wrapper has been extended to provide access to ORE input
  construction in memory and to query in-memory results (reports etc), in line
  with the refactoring mentioned below. See the new Example 42.
- To facilitate access to ORE Python, we are providing Python wheels for various
  OS types and Python versions starting with this release, thanks to Eric Ehlers's
  effort and Luigi Ballabio's support to get in up and running using github actions.
  Build instructions for the Python wheels are included in the user guide's section 4.
  See the new Example 42 on how to use the published wheels.

OTHER
- Upgrade to QuantLib-1.29
- Refactor the serialization of NPV cube and market cube (aggregation scenario data)
- Refactor OREAnalytics/orea/app by separating input construction from processing
  and persisting results. This is to faciliate re-using the processing element
  (analyticsManager->runAnalytics(...)) in different applications, a command line
  application such as ore[.exe] that reads/writes from/to files, an ORE Python wrapper
  that receives input and provides results in memory (see language bindings above),
  or a REST service built around ORE. Results (reports, cubes etc) are stored in
  memory and only saved to files on demand. Inputs for the ORE processor can be
  assembled in memory, or read from files.


Changes for the 8th ORE release (1.8.8.0):
============================================

ORE 1.8.8.0 includes the following notable changes, details can be
found in the commits between September 2022 and December 2022.

INSTRUMENTS

- roll out Commodity derivatives, thanks to Acadia Inc., as announced in September 22:
  * Commodity Swap
  * Commodity Swaption
  * Commodity Average Price Option
  * Commodity Option Strips and Digital Option Strip
  see user guide and in particular Example 24
- add Equity Cliquet Option, missed in the 7th release, thanks to Acadia
- add Equity/FX/Commodity Variance Swap, missed in the 7th release, thanks to Acadia
- introduce separate trade types for Cross Currency and Inflation Swap
- merge QuantExt and QuantLib CDS and midpoint engine in ORE's QuantLib fork,
  QuantLib pull request to follow

MARKETS

- performance optimizations for curve builders
- extend the market interface to optionally handle precious metals and crypto currencies
  as commodities instead of FX

TERM STRUCTURES

- no notable changes

ANALYTICS

- add American Monte Carlo simulation components to support fast Bermudan Swaption
  exposure simulation and more, thanks to Acadia;
  the integration into the ORE command line app will follow with the next release (March 23)
  as it requires some refactoring.
- add Commodity simulation to the cross asset model and market simulation, integraded
  with the LGM-based Cross Asset Model, thanks to Acadia
- add a multi-factor Hull-White / FX / Commodity simulation model, thanks to Acadia;
  calibration to be added  

TESTS

- QuantExt: 242 test functions (vs 214 in the previous release)
- OREData: 199 test functions (vs. 192 in the previous release)
- OREAnalytics: 66 test functions (vs. 65 in the previous release)

DOCUMENTATION

- the user guide is maintained continuously incorporating user feedback, in particular
  from Acadia service clients; it has grown from 404 to 440 pages, mainly due to the
  migration of Commodity and Equity/FX instruments into ORE

LANGUAGE BINDUNGS

- maintenance to ensure ORE SWIG wrappers build with the current ORE release,
  QuantLib-1.28 and QuantLib-SWIG-1.28

OTHER

- changes to build with QuantLib 1.28
- extend the CMake setup for Windows / Visual Studio users
  We will stop maintaining the *.vcxproj and *.vcxproj.filters from now on
  and rely on CMakeLists for both *nix and Windows. See section 4.2.3 of
  the user guide on how to "Generate Visual Studio Projects with CMake"


Changes for the 7th ORE release (1.8.7.0):
============================================

ORE 1.8.7.0 includes the following notable changes, details can be
found in the commits between June 2021 and September 2022.

INSTRUMENTS

- add FX Asian option support, thanks to Fredrik Gerdin Börjesson
- add Equity/Commodity Asian option support
- add Equity/FX Barrier, Double Barrier and European Barrier options
- add Equity/FX Digital options
- add Equity/FX Touch and Double Touch options
- add FX KI/KO Barrier and Digital Barrier options
- add support for FX Average Forwards
- add support for legs referencing a constant maturity bond index in analogy to CMS
- add support for Commodity Digital Option
- expose the Turnbull-Wakeman moment-matching engine for arithmetic average price options,
  thanks to Fredrik Gerdin Börjesson
- additional pricing engine results for Caps/Floors, thanks to Fredrik Gerdin Börjesson
- additional results for Commodity Swaps
- introduce user-defined minimum time value for the AmericanOptionFDEngineBuilder,
  thanks to Fredrik Gerdin Börjesson
- revised the inflation derivative setup, adopt changes in QuantLib 1.27
- improve CPI swap and cap pricing by using the last known fixing date as a base date
  in the zero inflation curve resp. volatility term structure
- support Cap/Floor with CMS Spread leg

MARKETS

- add support for SOFR and SONIA term rates
- add support for DKK-CITA and SEK-STINA indices, thanks to Fredrik Gerdin Börjesson
- add crypto currency (BTC, ETH) parsers to support crypto currency Forwards as FX Forwards
- add support for minor currencies (GBp, etc.) across all Equity derivatives
- make minor currency unit codes configurable
- add support for FX Forward outright quotes in curve building
- refactor parseCalendar() and parseCurrency() using Singletons to be able to reset state
- introduce instrument conventions Singleton, fix Commodity forward fixing errors 
- revised the FX index implementation, fix lazy market building errors related to FX indices

TERM STRUCTURES

- add support for RFR (SOFR, SONIA, ...) Cap/Floor volatility surfaces
- add support for RFR Swaption volatility surfaces
- introduce a moneyness adjustment when proxying the Swaption surface with a different tenor
- support Cap/Floor volatility surfaces by index name
- add CubicSpline interpolation for delta volatility surfaces, thanks to Fredrik Gerdin Börjesson
- add Hermite interpolation to Commodity curves, thanks to Fredrik Gerdin Börjesson
- enable extrapolation of sparse Cap/Floor volatility data, thanks to Fredrik Gerdin Börjesson
- fixes to the Equity forward curve builder
- fixes to the Equity proxy volatility surface, thanks to Fredrik Gerdin Börjesson
- speed up OIS curve bootstrap
- add IBOR fallback support for EONIA

ANALYTICS

- introduce pricing timing/stats report
- revise the LGM grid engine speeding up Bermudan Swaption pricing significantly
- speed up CMS coupon pricing
- extend CMS coupon pricers to cover OIS underlyings
- changes to the central “valuation engine” in ORE Analytics to enhance performance for large portfolios

TESTS

- QuantExt: 214 test functions (vs 203 in the previous release)
- OREData: 192 test functions (vs. 160 in the previous release)

DOCUMENTATION

- added ORE Design documentation, thanks to Roland Kapl
- the user guide is maintained continuously incorporating user feedback, in particular from Acadia service clients; it has grown from 326 to 404 pages
- various User Guide improvement, thanks to Fredrik Gerdin Börjesson
- various corrections to doxygen docs (referenced file names), thanks to Fredrik Gerdin Börjesson

LANGUAGE BINDUNGS

- Maintenance to ensure ORE SWIG wrappers build with the current ORE release, QuantLib-1.27.1 and QuantLib-SWIG-1.27
- Various extensions of the SWIG wrappers, thanks to Farah Khashman
- Various changes to resurrect Python examples and test cases, thanks to Farah Khashman

OTHER

- changes to build with QuantLib 1.27.1
- allow for C++17 in CMake build


Changes for the 6th ORE release (1.8.6.0):
============================================

ORE 1.8.6.0 includes the following notable changes, details can be
found in the commits between June 2020 and June 2021.

INSTRUMENTS

- Add Equity, FX and Commodity Asian Options (thanks to Skandinaviska Enskilda Banken)
- Add Equity Future Option
- Support Quanto Equity Options
- Add Digital CMS Leg
- Add Duration Adjusted CMS Leg
- Allow settlement delay in FX Forwards
- Support separate caps/floors on inflation coupon and redemption
- CPI and YoY coupons can now pay the inflation ratio or the inflation rate = inflation ratio - 1 
- Support caps / floors on ON index fixings, see LocalCapFloor tag in the User Guide
- Support local and global caps / floors on ON average coupons
- Reference commodity index in Commodity forwards
- Support strike of type yield-to-maturity in bond forwards (T-Locks etc.)
- Support averaging and in-advance fixing for SOFR/ON-Index linked legs
- Add LastRecentPeriodCalendar to handle SOFR30A, 90A, 180A 
- Fix construction of notional amortization schedules
- Update CDS Option Pricing (O’Kane, 2008)
- Refine Cross Currency Swap pricing (thanks to Ioannis Rigopoulos)
- Allow for more than one premium, introduce new premium node

MARKETS

- Add minor currency support (GBX, ZAC, ILA)
- Add currencies - AOA, ETB, GEL and XOF
- Add configurable currencies support to cover all remaining ISO currencies, see Examples/Input/currencies.xml
- Add configurable calendars
- Add various hard-coded IBOR Indices, DKK CITA and SEK STINA (thanks to Skandinaviska Enskilda Banken), AED EIBOR, GBP BoEBase, CNH HIBOR, CNY REPOFIX, HKD HONIA, JPY-Euroyen TIBOR, ZAR SABOR
- Add Inflation indices - AUCPI, FRCPI, BEHICP
- Add configurable, conventions based, IR/INF index support for greater flexibility in adding indexes to ORE 
- Add LIBOR fallback support based on configurable adjustment spread, cessation date and RFR index
- Fix the FX triangulation to avoid spurious small FX sensitivities

TERM STRUCTURES

- Support 1M SOFR Futures in yield curve building
- Support CDS upfront quotes in default curve building
- Add support for delta-based Equity volatility surfaces 
- Improve robustness of Cap/Floor volatility surfaces to missing data
- Support commodity volatility surfaces built from option prices
- Support flat zero extrapolation on yield curves
- Support linear zero interpolation for yield curves (thanks to Steven van Haren)
- Support delta interpolated FX volatility surfaces accepting BF/RR market data
- Support wild cards in FX volatility surface configurations
- Support Hermite interpolation in commodity price curves (thanks to Skandinaviska Enskilda Banken)
- Arbitrage checks for Equity and FX volatility surfaces 
- Report to list market data points used in t0 market curve building
- Set up ScenarioSimMarket curves and surfaces as spreads over the t0 market
- Support fix-float mtm reset cross currency swaps in curve building
- Extend yield curve interpolation methods (Quadratic, LogQuadratic, Hermite, Cubic Spline)  

ANALYTICS

- Introduce an optional close-out grid for exposure simulation and XVA, see Example 31
- Add inflation simulation for exposure and XVA using Jarrow-Yildirim, see Example 32
- Add credit simulation for exposure and XVA using Gaussian and Cox-Ingersoll-Ross models, see Examples 33 and 34
- Add “flipped view” XVA feature, flipping “our” perspective to “theirs” (thanks to Roland Kapl), see Example 35
- Add option to switch from the LGM measure to the Bank Account measure for exposure simulations, see Example 36
- Refactoring of the exposure and XVA post processor, separating out various classes
- Support one-sided Initial Margin in CSAs
- Fix the treatment of independent amounts in Variation Margin calculation 
- Export additional pricing engine and trade additional results for a range of instruments (Bonds, CDS, Swaps, Swaptions, Equity Forwards/Swaps/Options, FX Forwards and Options)
- Add an option to include past cashflows in the cashflow report
- Add accrual start/end dates and accrued amounts to the cash flow report (thanks to Roland Kapl)
- Fix LGM calibration with Best Fit
- Update trade notional/maturity in line with ISDA AANA/GRID recommendations

TESTS

- QuantExt: 203 test functions (vs 180 in the previous release)
- OREData: 160 test functions (vs 135 in the previous release)
- OREAnalytics: 65 test functions (vs 61 in the previous release) 

with associated increases in the number of data driven test cases 

EXAMPLES

- Added Examples 31 - 36, see the first five bullet points in the ANALYTICS section above
- Established regression tests for Example outputs

USER GUIDE

- Grown from 267 to 326 pages (thanks also to Roland Kapl and Skandinaviska Enskilda Banken)

LANGUAGE BINDUNGS

- Maintenance to ensure ORE SWIG wrappers build with current ORE, QuantLib-1.22 and QuantLib-SWIG-1.22

OTHER

- Fix the instrument schema to include ore\_types.xsd again (thanks to Tomass Wilson) 


Changes for the 5th ORE release (1.8.5.0):
============================================

ORE 1.8.5.0 includes the following notable changes, details can be
found in the commits between 28 May 2019 and 12 June 2020.

INSTRUMENTS

- Add Inflation CPI and YoY Caps/Floors and capped/floored cash flows
- Add Forward Bond
- Add American Commodity Option
- Add reference data manager (handles Bond reference data as concrete example)
- Add underlying description (FX, Equity, Commodity)
- Add Settlement node to FX Forward, FX Swap and Swap instruments 
- Add lockout to overnight coupons
- Allow explicit payment dates for cash settled vanilla European options
- Extend Equity Swap: legs, equity coupon with FX adjustment, resettable feature,
  quantity vs initial notional
- Extend CDS: Allow fixed recovery, front or back stub periods, protection payment
  timing at default/period end/maturity
- Allow floating coupons with sub periods, i.e. several fixings per coupon period
  that are averaged or compounded
- Allow Caps/Floors on BMA/SIFMA and overnight indices
- Allow adding new leg types via a LegDataFactory

MARKETS

- Currencies: 73 mapped
- Calendars: 88 mapped by country, city, ISO 10383 MIC, ISO 4217 currency code,
  ISO 3166-1 Alpha 2 and 3 country codes
- Allow large joint calendars
- OIS indices: 19 mapped including USD-Prime, EUR-ESTER and USD-SOFR
- IBOR indices: 43 mapped using "hard coded" index names
- Inflation indices: 9 mapped
- Add IBOR and CMS indices that can be defined in conventions, so that they can be
  added to ORE without code changes

TERM STRUCTURES

- Add fitted Bond yield curves
- When bootstrapping a default curve from CDS, allow for retries with widening of
  search bounds. Avoids exceptions for distressed CDS curves for example.
- Inflation cap/floor volatility surfaces cleaned up, inflation price surfaces removed
  from the market interface
- Equity volatility surface changes, clean up and stripping from option premiums,
  allow wildcard in strike/expiry config, add Equity volatility surface proxies
- Allow optional quotes in curve configurations
- New Equity forward curve stripper that allows a dividend yield to be determined from
  equity option premiums
- ESTER/SOFR basic curve building
- New cap/floor optionlet stripper that uses an iterative bootstrap with configurable
  interpolation/extrapolation in expiry and strike direction.
- New CDS volatility configuration to allow for constant volatility, a volatility
  curve or an expiry x strike surface
- Added Commodity basis price curve and average basis price curve

ANALYTICS

- Fix volatility conversion for lognormal swaption cubes in ScenarioSimMarket
- Cross Asset Model refactoring to allow alternative risk factor evolution models 
- Bermudan Swaption LGM calibration changes (allow to continue processing when
  tolerance is breached, allow to thin out calibration grids)
- Improve performance of analytic LGM swaption engine by introducing a cache
  (speeds up LGM calibration)
- Add Indexed coupon class
- Add CDS to stress testing capability

UNIT TESTS

- QuantExt unit test cases: 180 test functions, 3749 data-driven cases
- OREData unit tests: 135 test functions, 368 data-driven cases 
- OREAnalytics unit tests: 61 test functions and cases
i.e. 609 test functions vs 429 in the previous release.

For example:
"./quantext-test-suite" reports 3749 cases
"./quantext-test-suite --list_cases | grep test" lists 180 test functions

EXAMPLES

- Maintenance of inputs, ensure consistency of results with user guide
- Additional Prime Curve example

USER GUIDE

- Documentation of ongoing changes, new instruments, broader market coverage,
  extended to over 250 pages

BUILDING ORE

- Discontinue automake builds

LANGUAGE BINDUNGS

- Maintenance to ensure SWIG wrappers build with current ORE and QuantLib-SWIG 1.18,
  rework all *.i files to use the SWIG wrapper of boost::shared_ptr following
  QuantLib-SWIG

OTHER

- Fixing manager refactoring and bug fixes
- Clean up of log levels to reduce the volume of log messages
- Improved log messages when LGM calibration errors exceed tolerances
- LGM model builder bug fixes
- Builds with QuantLib Version 1.18
- Builds with Boost versions up to 1.72.0


Changes for the 4th ORE release (1.8.4.1):
============================================

ORE 1.8.4.1 includes the following notable changes, details can be
found in the commits between 11 December 2017 and 28 May 2019.

INSTRUMENTS
- Commodity Forward and Option, see example 5.24
- Equity Swap, see extended example 5.16
- CMS Spread Option (Cap/Floor, Digital Cap/Floor), see example 5.25

MARKETS
- New calendars: Chile, Colombia, Malaysia, Peru, Philippines, Thailand
- New IBOR indexes: CHF SARON, CLP CAMARA, COP IBR, DEM LIBOR, DKK OIS,
  NOWA, PHP PHIREF, RUB MOSPRIME, SEK SIOR, THB BIBOR
- New inflation idexes and regions: DKCPI, SECPI
- Equity index added

TERM STRUCTURES
- Cap/Floor smile volatility surface added
- Cross currency basis swap helper (with MtM Reset) added
- Cross currency fixed vs. float swap helper added, see example 5.29
- Discount ratio curves added, see example 5.28
- Correlation term structure added (to support CMS spread products)

ANALYTICS
- KVA added (thanks to Roland Kapl)

UNIT TESTS
- Unit tests suites extended to 429 cases in total
- Data driven tests added in ORE Data
- Now using boost’s automated test suite creation and registration

EXAMPLES
- ORE has 29 examples now vs 23 in the previous release

USER GUIDE
- Extended to 194 pages

BUILDING ORE
- CMake build system added, see end of section 4.2

LANGUAGE BINDINGS
- ORE SWIG projected added, to support ORE in Python,
  see https://github.com/OpenSourceRisk/ORE-SWIG
  

Changes for the third ORE release (1.8.3.0):
============================================

ORE 1.8.3.0 includes the following notable changes, details can be
found in the commits between 5 May and 11 Dec.

INSTRUMENTS

- Credit Default Swaps and FRAs added

MONTE CARLO FRAMEWORK

- Simulation of inflation added

ANALYTICS

- Sensitivity and stress framework extended to Equity, Inflation and Credit

UNIT TESTS

- Unit tests suites extended to 175 cases

EXAMPLES

- ORE has 23 examples now

USER GUIDE

- Extended accordingly, 170 pages


Changes for the second ORE release (1.8.2.0):
=============================================

ORE 1.8.2.0 includes the following notable changes, details can be
found in the commits between 22 March and 4 May.

INSTRUMENTS

- Fixed and floating rate Bonds added

- CPI and Year on Year Inflation Swaps added

- Equity Forwards and Options added

MONTE CARLO FRAMEWORK

- Simulation of equity factors added to the cross asset model and
  scenario generation

ANALYTICS

- Sensitivity analysis and stress testing framework added covering all
  IR and FX products in ORE

UNIT TESTS

- Unit test suites extended to 139 cases vs 108 in the initial release

EXAMPLES

- ORE has 18 examples now vs 13 in the initial release

USER GUIDE

- Extended accordingly, 148 pages