Releases: OpenGamma/Strata
Release v0.9.0
Highlights
- Simpler calculation runner
- Unified pricing for Swaption models
- Add currency exposure measure to pricers
- Efficient data structures for large scenarios
Coverage
Includes trade models, pricing and reports for interest rate swaps (including vanilla, OIS, variable notional and cross-currency), FRAs, CDS (single name and index), generic Futures, generic Future Options, FX Forward/Spot, FX NDF, FX Swap, Term Deposit, Bullet Payment, Deliverable Swap Futures, STIR Futures (Ibor).
| PV | PV01 | Bktd PV01 | Gamma PV01 | Par Rate | CS01 | Bktd CS01 | Cashflows | |
|---|---|---|---|---|---|---|---|---|
| Swap | X | X | X | X | X | X | ||
| FRA | X | X | X | X | X | X | ||
| CDS | X | X | X | X | X | |||
| FX Forward/Spot | X | X | X | X | ||||
| FX NDF | X | X | X | X | ||||
| FX Swap | X | X | X | X | ||||
| Generic Future | X | |||||||
| Generic Future Option | X | |||||||
| Term Deposit | X | X | X | X | ||||
| STIR Future (Ibor) | X | X | X | X | ||||
| Deliverable Swap Future | X | X | X | |||||
| Term Deposit | X | X | X | X | ||||
| Bullet Payment | X | X | X |
Release v0.8.0
Highlights
- Curve calibration
- New asset classes
- Loaders, pulling data from XML and CSV
- Enhanced market data and calculation engine
Coverage
Includes trade models, pricing and reports for interest rate swaps (including vanilla, OIS, variable notional and cross-currency), FRAs, CDS (single name and index), generic Futures, generic Future Options, FX Forward/Spot, FX NDF, FX Swap, Term Deposit, Bullet Payment, Deliverable Swap Futures, STIR Futures (Ibor).
| PV | PV01 | Bktd PV01 | Gamma PV01 | Par Rate | CS01 | Bktd CS01 | Cashflows | |
|---|---|---|---|---|---|---|---|---|
| Swap | X | X | X | X | X | X | ||
| FRA | X | X | X | X | X | X | ||
| CDS | X | X | X | X | X | |||
| FX Forward/Spot | X | X | X | X | ||||
| FX NDF | X | X | X | X | ||||
| FX Swap | X | X | X | X | ||||
| Generic Future | X | |||||||
| Generic Future Option | X | |||||||
| Term Deposit | X | X | X | X | ||||
| STIR Future (Ibor) | X | X | X | X | ||||
| Deliverable Swap Future | X | X | X | |||||
| Term Deposit | X | X | X | X | ||||
| Bullet Payment | X | X | X |
Release v0.7.0
Initial release of Strata.
Highlights
- Calculation API
- Market data API
- Reporting API
- Scenario API
- Pricing and risk measures (coverage below)
- Clean trade models, guided by FpML
- Foundations, including day counts, schedules, holidays and indices
Coverage
Includes trade models, pricing and reports for interest rate swaps (including vanilla, OIS, variable notional and cross-currency), FRAs, CDS (single name and index), generic Futures and generic Future Options.
| PV | PV01 | Bktd PV01 | Gamma PV01 | Par Rate | CS01 | Bktd CS01 | Cashflows | |
|---|---|---|---|---|---|---|---|---|
| Swap | X | X | X | X | X | X | ||
| FRA | X | X | X | X | X | X | ||
| CDS | X | X | X | X | X | |||
| Generic Future | X | |||||||
| Generic Future Option | X |