I would like to know an open source quantitative library/ies that can calculate exposures out of the box (I have investigated a bit on OpenGamma/Strata libraries with no luck and the website of QuantLib is down so I saw nothing there as well..)

I imagine that one can use already implemented pricing tools, and do exposure calculation via e.g. Monte-Carlo simulations, but I am interested in the more general (ready to try) solution with testCases as provided for various functionality for example in OpenGamma library.

Maybe somebody can advise an alternative, introduction quality book, for calculating exposures and doing value adjustments in some OpenSource libraries? This book might cover such questions:

  1. what are the risk factors of a simple swap? ( if I am correct the risk factors of a simple swap are floating and discounting rates at each of the swap coupons times, i.e. a list of these values). How do we simulate them (i.e. which models are applied)?
  2. I am also very curious of the typical calibration process of parameters of the risk factor models..
  3. the book could explain step-by-step on how to compute simple swap exposure

(I am new to this topic, and Jon Gregory book frustrates me because of material covered there is so broad and a huge amount of practical details makes me lost myself yet has no detailed recipe on how to do basic exposure calculation of a swap.)

Thank you a lot. Sorry for a long post.

  • 1
    $\begingroup$ Did you already take a look at the Open Source Risk Engine opensourcerisk.org/documentation ? I wouldnt call it out of the box, but it should cover all you need. The documentation is also pretty good and there are a lot of examples to get started. $\endgroup$
    – Andrew
    Feb 23, 2018 at 11:58
  • $\begingroup$ @Andrew, this is exactly what I searched for! Thank you. I am currently trying to open it $\endgroup$
    – gencho
    Feb 23, 2018 at 14:25


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