ORE trade XML reference

This site is a reference copy of the ORE (Open Source Risk Engine) example inputs and XML schemas, generated 2026-09-19 from ORE version 1.8.15 (branch ore_1.8.15.0). All XML/XSD files are verbatim, unmodified copies from the repository's Examples/ and xsd/ directories; portfolio files have additionally been split into one file per <Trade> under sibling _trades/ directories (marked as generated).

All files are plain XML/HTML served statically — no JavaScript rendering is required. The shared base market data is as-of 2016-02-05 (a few topic-specific inputs use other dates; the contributed example uses 2026-09-18).

Reference: supported values & naming

• Supported calendars — every calendar name ORE accepts (country codes, currency codes, exchanges), joint-calendar syntax, and the weekends-only fallback for emerging-market currencies.
• Supported currencies — all ISO codes defined in the example currency configuration (incl. VND, KRW, SGD, TRY).
• Market quote naming — instrument/quote types and the quote name token grammar (e.g. zero quotes: ZERO/RATE/ccy/curveName/dayCounter/dateOrTenor) with real examples.
• Identifier grammar — the two grammars for referencing market data: quote names (FX/RATE/USD/VND) vs curve specs (FX/USD/VND), per-section todaysmarket values.
• Trade & convention defaults — code-level defaults invisible in the XSD (FxForward payment lag, FX PointsFactor).
• Runtime errors — common ORE error strings and what they mean.

Trade types (70 types, 2060 example trades)

Rates

• Ascot (2 example trades) — Asset-swapped convertible option transaction: option on a convertible bond TRS. Observed product nodes: AscotData.
  Examples: [Ascot] [Ascot]
• BalanceGuaranteedSwap (2 example trades) — Balance guaranteed swap (CMBS-style principal pass-through structure). Observed product nodes: BalanceGuaranteedSwapData.
  Examples: [BGS1] [BGS1]
• Bond (148 example trades) — Plain bond: BondData with issuer/credit curve ids, coupon schedule, notionals; fixed, floating or zero. Observed product nodes: BondData.
  Examples: [NoFwdContract] [Bond] [Bond]
• BondOption (6 example trades) — European/Bermudan option on a bond: BondOptionData with OptionData plus underlying BondData. Observed product nodes: BondOptionData.
  Examples: [Bond_Call_Option_StrikePrice] [Bond_Call_Option] [Bond_Call_Option_StrikePrice]
• BondRepo (2 example trades) — Bond repo / sell-buy-back: BondRepoData referencing the bond with repo rate and collateral terms. Observed product nodes: BondRepoData.
  Examples: [Repo] [Repo]
• BondTRS (4 example trades) — Total return swap on a bond: BondTRSData with bond leg and funding leg. Observed product nodes: BondTRSData.
  Examples: [BondTRS] [BondTRSwithIndexing] [BondTRS]
• CallableBond (10 example trades) — Bond with embedded call/put: BondData plus CallableData (exercise dates and prices). Observed product nodes: CallableBondData.
  Examples: [CallableBondTrade] [CallableBondTrade_Call] [CallableBondTrade_Call]
• CallableSwap (3 example trades) — Swap with a Bermudan right to cancel (exercise data attached to the swap legs). Observed product nodes: CallableSwapData.
  Examples: [CallableSwap] [CALLABLE_SWAP_withExerciseDate] [CALLABLE_SWAP_withExerciseDate]
• CapFloor (41 example trades) — Interest rate cap/floor: CapFloorData with Index, strike(s), notional schedule plus the floating LegData. Observed product nodes: CapFloorData.
  Examples: [cap_01] [CAP_USD] [CAP_USD]
• ConvertibleBond (4 example trades) — Convertible bond with equity conversion features: ConvertibleBondData. Observed product nodes: ConvertibleBondData.
  Examples: [ConvertibleBond] [ConvertibleBond#2] [ConvertibleBond]
• CrossCurrencySwap (6 example trades) — Cross-currency swap: SwapData with legs in two currencies, notional exchange and FX-linked reset indices (LegType CrossCurrencyFixed/CrossCurrencyFloat). Observed product nodes: CrossCurrencySwapData.
  Examples: [NonDeliverable_CCS_CLP_USD_using_CrossCurrencySwap] [XCCY_Swap_EUR_USD_using_CrossCurrencySwap] [XCCY_Swap_EUR_USD_RESET_using_CrossCurrencySwap]
• DoubleDigitalOption (2 example trades) — Option paying digital amounts on two interest-rate indices. Observed product nodes: DoubleDigitalOptionData.
  Examples: [DOUBLEDIGITALOPTION] [DOUBLEDIGITALOPTION]
• FlexiSwap (2 example trades) — Swap with flexible notional redemption/amortisation alternatives. Observed product nodes: FlexiSwapData.
  Examples: [BGS] [BGS]
• ForwardBond (21 example trades) — Forward-starting bond purchase: ForwardBondData (settlement data around underlying BondData). Observed product nodes: ForwardBondData.
  Examples: [FwdBond] [FwdBond_Fixed] [ForwardBond]
• ForwardRateAgreement (58 example trades) — Forward rate agreement: ForwardRateAgreementData with Index, start/end dates, strike, notional. Observed product nodes: ForwardRateAgreementData.
  Examples: [FRA_CHF_1M_6M] [fratemplate] [FRA_CHF_1M_6M]
• KnockOutSwap (2 example trades) — Swap whose coupons knock out when a reference rate crosses a barrier. Observed product nodes: KnockOutSwapData.
  Examples: [KnockOutSwap_example] [KnockOutSwap_example]
• Swap (1173 example trades) — Vanilla interest rate swap: SwapData containing one or two LegData legs (LegType Fixed/Floating) with Schedule, Notionals, DayCounter, payment conventions. Observed product nodes: SwapData.
  Examples: [Swap_20y] [Swap_EUR] [Swap_EUR]
• Swaption (203 example trades) — Option on an interest rate swap: SwaptionData (OptionData with exercise/style) wrapping underlying SwapData legs. Observed product nodes: SwaptionData.
  Examples: [BermSwp] [BermSwp] [Swaption_USD_SOFR]
• TotalReturnSwap (18 example trades) — Total return swap on a reference underlying (TRSData with two legs). Observed product nodes: TotalReturnSwapData.
  Examples: [TRS_with_Bond] [BondFuturesTRS] [TRS_with_BondPositions]

FX

• FxAccumulator (2 example trades) — FX accumulator: periodic option strips with knock-out, leveraged upside. Observed product nodes: FxAccumulatorData.
  Examples: [FX_Accumulator-AKO] [FX_Accumulator-AKO]
• FxAverageForward (2 example trades) — Forward on the average FX rate (Asian-style fixing). Observed product nodes: FxAverageForwardData.
  Examples: [FX_AVG_FWD] [FX_AVG_FWD]
• FxBarrierOption (3 example trades) — Barrier FX option (knock-in/knock-out) with BarrierData. Observed product nodes: FxBarrierOptionData.
  Examples: [FX_BARRIER_OPTION_UPIN] [FX_UPIN_BARRIER_CALL_OPTION_EURUSD_10Y] [FX_UPIN_BARRIER_CALL_OPTION_EURUSD_10Y]
• FxDigitalBarrierOption (2 example trades) — Digital FX option with barrier feature. Observed product nodes: FxDigitalBarrierOptionData.
  Examples: [FX_UPIN_DIGITAL_BARRIER_CALL_OPTION_EURUSD_10Y] [FX_UPIN_DIGITAL_BARRIER_CALL_OPTION_EURUSD_10Y]
• FxDigitalOption (2 example trades) — Digital FX option paying a fixed amount if the FX rate ends in the money. Observed product nodes: FxDigitalOptionData.
  Examples: [FX_DIGITAL_CALL_OPTION_EURUSD_10Y] [FX_DIGITAL_CALL_OPTION_EURUSD_10Y]
• FxDoubleBarrierOption (4 example trades) — Double-barrier FX option (two knock levels). Observed product nodes: FxDoubleBarrierOptionData.
  Examples: [FX_DOUBLE_BARRIER_OPTION_KNOCKIN] [FX_DOUBLE_BARRIER_OPTION] [FX_DOUBLE_BARRIER_OPTION]
• FxDoubleTouchOption (4 example trades) — Double one-touch FX option. Observed product nodes: FxDoubleTouchOptionData.
  Examples: [FX_DOUBLE_ONE-TOUCH_OPTION] [FX_DOUBLE_ONE-TOUCH_OPTION]
• FxEuropeanBarrierOption (3 example trades) — European-barrier FX option variant. Observed product nodes: FxEuropeanBarrierOptionData.
  Examples: [FX_EUROPEAN_BARRIER_OPTION] [FX_EUROPEAN_BARRIER_OPTION] [FX_EUROPEAN_BARRIER_OPTION]
• FxForward (67 example trades) — FX forward: FxForwardData with payer/receiver currency and amount, strike, settlement. Observed product nodes: FxForwardData.
  Examples: [FX_Forward_2D] [FX_Forward_2D] [FXFWD_EUR_USD_3M]
• FxGenericBarrierOption (3 example trades) — Generic-barrier FX option variant (rebates, monitoring). Observed product nodes: FxGenericBarrierOptionData.
  Examples: [generic_fx_barrier_option] [generic_fx_barrier_option] [generic_fx_barrier_option]
• FxKIKOBarrierOption (3 example trades) — Knock-in/knock-out FX barrier option variant. Observed product nodes: FxKIKOBarrierOptionData.
  Examples: [FX_KIKO_BARRIER_OPTION] [FX_BARRIER_OPTION] [FX_BARRIER_OPTION]
• FxOption (25 example trades) — Vanilla FX option (European/American): FxOptionData with OptionData, PutCall, strike, both currencies. Observed product nodes: FxOptionData.
  Examples: [FX_CALL_OPTION] [FX_CALL_OPTION] [FX_CALL_OPTION_EURUSD_10Y]
• FxSwap (4 example trades) — FX swap (near and far legs): FxSwapData containing two FxForwardData legs. Observed product nodes: FxSwapData.
  Examples: [FXSwap] [FXSwap] [FXSWP_EURUSD_10Y]
• FxTaRF (4 example trades) — Target redemption forward on FX: coupons stop once a target is reached. Observed product nodes: FxTaRFData.
  Examples: [SCRIPTED_FX_TARF] [SCRIPTED_FX_TARF] [FX_TARF]
• FxTouchOption (4 example trades) — One-touch/no-touch FX option paying on barrier touch. Observed product nodes: FxTouchOptionData.
  Examples: [FX_NO-TOUCH_OPTION] [FX_ONE-TOUCH_OPTION] [FX_NO-TOUCH_OPTION]
• FxVarianceSwap (2 example trades) — Variance swap on an FX rate. Observed product nodes: FxVarianceSwapData.
  Examples: [Fx_Vol_Swap] [Fx_Vol_Swap]

Equity

• ContractForDifference (2 example trades) — CFD: exchange of underlying return versus funding leg. Observed product nodes: ContractForDifferenceData.
  Examples: [EquityCFD] [EquityCFD]
• EquityAccumulator (4 example trades) — Equity accumulator: periodic share accumulation with knock-out. Observed product nodes: EquityAccumulatorData.
  Examples: [EQ_DECUMULATOR] [EQ_DECUMULATOR] [9a:EquityAccumulator02Wrapped]
• EquityAsianOption (2 example trades) — Asian (average rate/strike) equity option. Observed product nodes: EquityAsianOptionData.
  Examples: [EQAsianOption] [EQAsianOption]
• EquityBarrierOption (3 example trades) — Barrier option on a single equity. Observed product nodes: EquityBarrierOptionData.
  Examples: [EQBarrierOption] [EQBarrierOption] [5:EquityBarrierOption:AN]
• EquityCliquetOption (2 example trades) — Cliquet equity option (periodic resets, local/global floors/caps). Observed product nodes: EquityCliquetOptionData.
  Examples: [EQ_CLIQUET_SPX] [EQ_CLIQUET_SPX]
• EquityDigitalOption (2 example trades) — Digital option on a single equity. Observed product nodes: EquityDigitalOptionData.
  Examples: [EQDigitalOption] [EQDigitalOption]
• EquityDoubleBarrierOption (2 example trades) — Double-barrier equity option. Observed product nodes: EquityDoubleBarrierOptionData.
  Examples: [EQDoubleBarrierOption] [EQDoubleBarrierOption]
• EquityEuropeanBarrierOption (2 example trades) — European-barrier equity option. Observed product nodes: EquityEuropeanBarrierOptionData.
  Examples: [EQEuropeanBarrierOption] [EQEuropeanBarrierOption]
• EquityForward (6 example trades) — Equity forward: EquityForwardData with strike, maturity, quantity. Observed product nodes: EquityForwardData.
  Examples: [EqFwd_SP5] [EQ_FWD_SP5] [EqForward]
• EquityOption (21 example trades) — Vanilla equity option: EquityOptionData with EquityName, strike, OptionData. Observed product nodes: EquityOptionData.
  Examples: [EQ_CALL_STOXX50E] [EQ_CALL_STOXX50E] [EqCall_SP5]
• EquityOutperformanceOption (2 example trades) — Option on the outperformance of one equity versus another. Observed product nodes: EquityOutperformanceOptionData.
  Examples: [OutperformanceOption1#KnockIn] [OutperformanceOption1#KnockIn]
• EquityPosition (2 example trades) — Equity stock position/holding: EquityPositionData with Quantity and Underlying (equity name/identifier). Observed product nodes: EquityPositionData.
  Examples: [Eq1]
• EquitySwap (9 example trades) — Equity swap: EquitySwapData (equity return leg) versus funding LegData. Observed product nodes: EquitySwapData, SwapData.
  Examples: [EquitySwap_1] [EqSwap_STOXX_decomp] [EqSwap]
• EquityTaRF (2 example trades) — Target redemption forward on an equity. Observed product nodes: EquityTaRFData.
  Examples: [EquityTaRF] [EquityTaRF]
• EquityTouchOption (2 example trades) — One-touch/no-touch equity option. Observed product nodes: EquityTouchOptionData.
  Examples: [EQOneTouchOption] [EQOneTouchOption]
• EquityVarianceSwap (2 example trades) — Variance swap on an equity. Observed product nodes: EquityVarianceSwapData.
  Examples: [Var_Swap] [Var_Swap]
• EquityWorstOfBasketSwap (6 example trades) — Basket equity swap paying on the worst-of basket return. Observed product nodes: EquityWorstOfBasketSwapData.
  Examples: [EQ_WorstOfBasketSwap] [Exotic_FX_WorstOfBasketSwap] [FX_WorstOfBasketSwap]

Credit

• CreditDefaultSwap (8 example trades) — Credit default swap: CreditDefaultSwapData with issuer/credit curve ids, protection leg and fixed coupon. Observed product nodes: CreditDefaultSwapData.
  Examples: [CDS_1] [CDS] [CDS]
• CreditDefaultSwapOption (38 example trades) — Option on a CDS (single name). Observed product nodes: CreditDefaultSwapOptionData.
  Examples: [CdsOption_1_19] [CdsOption_01_19]
• CreditLinkedSwap (2 example trades) — Swap whose coupons/default payments are linked to a reference credit. Observed product nodes: CreditLinkedSwapData.
  Examples: [CreditLinkedSwap] [CreditLinkedSwap]
• IndexCreditDefaultSwap (7 example trades) — CDS on a credit index. Observed product nodes: IndexCreditDefaultSwapData.
  Examples: [INDEX_CDS] [INDEX_CDS] [INDEX_CDS]
• IndexCreditDefaultSwapOption (5 example trades) — Option on an index CDS. Observed product nodes: IndexCreditDefaultSwapOptionData.
  Examples: [INDEX_CDS_OPTION] [INDEX_CDS_OPTION] [INDEX_CDS_OPTION]
• RiskParticipationAgreement (4 example trades) — Risk participation agreement: participation in counterparty default risk of underlying trades. Observed product nodes: RiskParticipationAgreementData.
  Examples: [RPA_CALLABLE] [RPA_VANILLA] [RPA_CALLABLE]
• SyntheticCDO (5 example trades) — Synthetic CDO: BasketData (credit index basket) with tranche legs. Observed product nodes: CdoData.
  Examples: [INDEX_CDS_TRANCHE] [INDEX_CDS_TRANCHE] [INDEX_CDS_TRANCHE]

Commodity

• CommodityAveragePriceOption (3 example trades) — Asian-style option on the average commodity price. Observed product nodes: CommodityAveragePriceOptionData.
  Examples: [CommodityAPO] [Commodity_APO_NYMEX_CSX] [Commodity_APO_NYMEX_CSX]
• CommodityForward (3 example trades) — Forward on a commodity reference. Observed product nodes: CommodityForwardData.
  Examples: [CommodityForward] [CommodityForward] [CommodityForward]
• CommodityOption (5 example trades) — Option on a commodity reference. Observed product nodes: CommodityOptionData.
  Examples: [CommodityOption] [Option] [CommodityOption]
• CommodityOptionStrip (4 example trades) — Strip of commodity options. Observed product nodes: CommodityOptionStripData.
  Examples: [Commodity_APO_Strip_NYMEX_CL] [Commodity_Option_Strip_NYMEX_NG] [Commodity_APO_Strip_NYMEX_CL]
• CommoditySwap (9 example trades) — Commodity swap: SwapData with LegData legs incl. CommodityFloatingLegData (averaging pricing schedules). Observed product nodes: SwapData.
  Examples: [CommoditySwap] [BasisSwap] [Commodity_Swap]
• CommoditySwaption (3 example trades) — Option on a commodity swap. Observed product nodes: CommoditySwaptionData.
  Examples: [CommoditySwaption] [Commodity_Swaption_NYMEX_NG] [Commodity_Swaption_NYMEX_NG]
• CommodityVarianceSwap (2 example trades) — Variance swap on a commodity reference. Observed product nodes: CommodityVarianceSwapData.
  Examples: [Commodity_VarianceSwap_NYMEX_NG] [Commodity_VarianceSwap_NYMEX_NG]

Inflation

• InflationSwap (6 example trades) — Inflation-linked swap (CPI or YoI legs with Index and growth factor settings). Observed product nodes: InflationSwapData.
  Examples: [CPI_Swap_using_InflationSwap] [CPI_Swap_with_fixed_non_inflation_leg_using_InflationSwap] [CPI_Swap_ZC_using_InflationSwap]

Scripted

• CompositeTrade (3 example trades) — Combination of existing portfolio trades into one deal (underlying trade ids and weights). Observed product nodes: CompositeTradeData.
  Examples: [Composite] [EQ_SYNTHETIC_FORWARD_RIC:.SPX] [EQ_SYNTHETIC_FORWARD_RIC:.SPX]
• PerformanceOption_01 (4 example trades) — Scripted performance option example (payoff defined in script). Observed product nodes: PerformanceOption01Data.
  Examples: [Commodity_Spread_PERFORMANCEOPTION_01] [FX_PERFORMANCEOPTION_01] [Commodity_Spread_PERFORMANCEOPTION_01]
• ScriptedTrade (37 example trades) — User-defined payoff: ScriptedTradeData (or a custom-named data node) referencing script code or the scriptlibrary, with script inputs. Observed product nodes: ScriptedTradeData, AsianBasketOptionData, TaRFData.
  Examples: [generic_barrier_option_fx_raw_kiko] [BermSwp] [ScriptedRangeAccrual]

XML schemas (XSD)

Authoritative definitions of allowed tags and values for each configuration file type. Note: the verbatim xsd/ copies mostly do not compile standalone (upstream omits some includes); for validating your own XML use the compile-checked copies in xsd-patched/ (details and validation results there).

• baseltrafficlightconfig.xsd
• calendaradjustment.xsd — Calendar adjustment rules.
• collateralbalance.xsd — Collateral balance input configuration.
• conventions.xsd — conventions.xml — market conventions per instrument (swaps, deposits, FX, bonds, ...).
• counterparty.xsd — Counterparty related definitions.
• creditsimulation.xsd — Credit portfolio model simulation configuration.
• currencyconfig.xsd — Currency configuration.
• curveconfig.xsd — curveconfig.xml — curve definitions, segments, interpolations, bootstrapping settings.
• historicalreturnconfig.xsd — Historical return / scenario data configuration.
• iborfallbackconfig.xsd — IBOR fallback configuration.
• input.xsd — Umbrella/portfolio aggregate definitions (sub-trade groups).
• instruments.xsd — THE trade schema: Trade, Envelope and every product data node (SwapData, LegData, FxOptionData, CreditDefaultSwapData, ...). Start here for 'which tags exist' questions.
• nettingsetdefinitions.xsd — nettingsetdefinitions.xml — netting sets, CSA collateral terms, CVA/XVA meta data.
• ore.xsd — Top-level ore.xml application settings: logs, analytics to run, output files, grid conventions.
• ore_types.xsd — Shared simple types used by all schemas: calendars, day counters, business-day conventions, tenors, frequencies, option types.
• pricingengines.xsd — pricingengines.xml — engine/model assignment per trade type.
• referencedata.xsd — Reference data (agreements, entities).
• scriptlibrary.xsd — Scripted trade payoff library (scriptlibrary.xml).
• sensitivity.xsd — sensitivity.xml — sensitivity analysis configuration.
• simmcalibration.xsd — SIMM calibration input data.
• simulation.xsd — simulation.xml — XVA scenario simulation models (IR, FX, credit, ...), aggregation grid.
• stress.xsd — stress.xml — stress testing scenarios configuration.
• todaysmarket.xsd — todaysmarket.xml — mapping of market quotes to curve/building blocks.

Shared base configuration (Examples/Input)

• calendaradjustment.xml — Calendar adjustments.
• conventions.xml — Market conventions used across all examples.
• currencies.xml — Currency list.
• curveconfig.xml — Base curve configuration.
• fixings_20160205.txt — Historical fixings (2016-02-05).
• index.html
• market_20160205.txt — Market quotes (2016-02-05).
• market_20160205_flat.txt — Flat market quotes (2016-02-05).
• pricingengine.xml — Base pricing engine assignments.
• todaysmarket.xml — Base todays-market mapping.

Examples by topic

Official overview: Examples/Readme.md. 2971 input files across all topics; each topic page lists every file and trade.

• Academy — Basic ORE Academy examples with minimal configuration. (3 trades)
• AmericanMonteCarlo — Fast and accurate exposures using American Monte Carlo (AMC), selected vanilla and complex products. (34 trades)
• CreditRisk — Credit Portfolio Model, Derivatives Credit Risk Capital (SA-CCR). (125 trades)
• CurveBuilding — Curve bootstrap consistency checks; several curve building features. (840 trades)
• Exposure — Uncollateralised exposure simulation, product by product, various simulation features. (225 trades)
• ExposureWithCollateral — Impact of Variation Margin and CSA details, Impact of Initial Margin. (7 trades)
• InitialMargin — ISDA SIMM and IM Schedule, Dynamic Initial Margin via Regression and Dynamic Delta VaR. (20 trades)
• MarketRisk — Sensitivity, Stress Testing, Par Conversion, Parametric and HistSim VaR, P&L Explain, Market Risk Capital (SMRC). (101 trades)
• MinimalSetup — The minimal configuration required for pricing (market data, todays market, curve config, conventions). (20 trades)
• ORE-API — ORE C++/Python API usage examples with input files. (3 trades)
• ORE-Python — Python wrapper examples for ORE libraries and QuantLib. (277 trades)
• Performance — NPV and CVA sensitivities using AAD and GPU parallelization (python-driven; no XML inputs kept). (16 trades)
• Products — ORE product coverage across asset classes, 130+ products — see the per-product trade files under example_trades/. (366 trades)
• ScriptedTrade — Introduction to the Scripted Trade framework. (14 trades)
• XvaRisk — XVA sensitivity, stress testing, P&L explain, CVA Capital (SA-CVA and BA-CVA). (9 trades)

Contributed, tested example

• contrib/vnd-usd-fxforward — minimal runnable VND/USD FxForward setup with current-tenor SOFR market data and an FX-forward-points implied curve (not part of the ORE repository; executed against a local ORE 1.8.15 build).