Following the manual, I have built an Open Risk Engine library and I would like to learn the library by modifying examples that come together with the library.
Question: How to run, for instance,
Example_1 of the ORE library not in excel, by calling
ore.exe, but the original code in the debug mode at the Visual Studio?
The problem is: I am not sure if I can/(how to) change the process used for simulation of the Interest Rate from LGM to for e.g. HW 1F, LMM, Heston, ... and, in general, I would like to know what are the already supported options of the ORE library and how can I modify them.
I have found an
oreapp.cpp file in
OREAnalytics project which, I believe, can be used here. However, I do not know QuantLib and C++, therefore some good basic example of a launchble project with similar outcome as a result of
Example_1.xlam will be much appreciated.