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ORE-API

ORE C++/Python API usage examples with input files.

Official readme: readme.md

input

• calendaradjustment.xml
• conventions.xml
• currencies.xml
• curveconfig.xml
• example.json
• fixings_20160205.txt
• market_20160205.txt
• market_20160205_flat.txt
• netting.xml
• ore.xml
• portfolio.xml
• pricingengine.xml — engines for 35 product types: BermudanSwaption, Bond, BondOption, BondTRS, CMS, CMSSpread, CMS_DEACTIVATED, CPICapFloor, CapFloor, CapFlooredIborLeg, CapFlooredYYLeg, CappedFlooredCpiLegCashFlows, CappedFlooredCpiLegCoupons, CommodityAveragePriceOption, CommodityForward, CommodityOption, CommoditySwap, CommoditySwaption, CpiCapFloor, CreditDefaultSwap, CreditDefaultSwapOption, CrossCurrencySwap, EquityForward, EquityOption, EquityOptionAmerican, EuropeanSwaption, ForwardBond, FxForward, FxOption, FxOptionAmerican, IndexCreditDefaultSwap, IndexCreditDefaultSwapOption, Swap, SyntheticCDO, YYCapFloor
• simulation.xml
• todaysmarket.xml