Run ORE's native zero-domain interest-rate sensitivities for a single-curve EUR-ESTER OIS, then follow the Jacobian par conversion that maps those deltas onto the liquid OIS quotes a trader can actually bump. Close the loop with an independent 15Y manual bump-and-reval: a ±1bp bump of the actual OIS quote whose re-valued NPV lands within 0.7% of the par table's total. Includes both config passes, the Jacobian matrix, cleaned zero- and par-domain tables, and the finite-difference check.
Explore how ORE's open architecture enables rigorous model validation. Walk through two canonical validation pathways — the cashflow report and the additionalResults file — applied to an Interest Rate Swap and an Equity Option position.
Ingest flat client trade files and translate them into ORE-compatible XML portfolios using Python. Validate the output against ORE's XSD schema and automate valuation runs.
A step-by-step walkthrough: market data → XML config → bootstrap → zero-PV re-pricing check, all in Python via the open-source-risk-engine package.