🎬In this video, learn how to set up Open-Source Risk Engine (ORE) to calculate the NPV of an Equity Option with Implied Volatility Surface.

This is a good video to watch for beginners as it goes into a bit more detail regarding the connection between all input files than the pricing videos that will be produced next.

Get access to all the data used to price this trade below ▼
https://github.com/OpenSourceRisk/Eng...

In particular, we describe the following input files:

00:32 - Chapter 1 - Master File (i.e. ore.xml)
01:46 - Chapter 2 - Portfolio File (i.e. trade.xml)
03:53 - Chapter 3 - Pricing Engine File (i.e. pricingengine.xml)
04:24 - Chapter 4 - Market Data Inputs Needed
05:55 - Chapter 4 - Market Data Input Files Overview (i.e. todaysmarket.xml, curveconfig.xml & marketdata.txt)
06:33 - Chapter 4 - Equity Curve Configuration
08:27 - Chapter 4 - Equity Volatility Configuration
09:56 - Chapter 4 - Interest Rate Curve Configuration

And we also look at the results of the NPV calculation.
13:36 - NPV Calculation Execution
14:40 - Analysis Results Exploration

Reference: TA001
Category: Trades & Analytics
Complexity: Beginner
Operating System: All

Link(s) to Supporting Document(s):
ORE Repository: https://github.com/OpenSourceRisk
ORE Website: https://www.opensourcerisk.org/

Author(s): Alexis David
Speaker(s): Alexis David
Editor(s): Alexis David

Prerequisite(s):
- SI003 - How to install ORE (Older Version):    • How to Install Open-Source Risk Engin...  
- SI004 - How to install ORE (Newer Version):    • How to install Open-Source Risk Engin...  
- FC002 - General Configuration & Master File:    • Understand How to Configure Open-Sour...  

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