Skip to content

@opengammacibot opengammacibot released this Jul 15, 2016 · 964 commits to master since this release

The first full release of Strata, after two years of development.
Strata is already in use in production and has now reached the point where v1.0 is appropriate.

The key features are:

  • Measure-level API - a high level API calculating measures for one trade
  • Calc-level API - a high level API calculating measures for a mixed portfolio of trades
  • Pricer-level API - a low level API performing calculations for one trade
  • Market data structures - representations of curves, surfaces and other kinds of market data
  • Product domain model - beans representing different financial instruments
  • Conventions, indices, and holiday calendars for common markets

For more information, see the website.


Includes trade models, pricing and reports for interest rate swaps (including vanilla, OIS, variable notional and cross-currency), FRAs, Constant Maturity Swaps (CMS), Swaptions, FX Forward/Spot, FX NDF, FX Swap, Term Deposit, Bullet Payment, Deliverable Swap Futures, STIR Futures/Options (Ibor) and generic securities.

Additional pricer-level asset class coverage is available for Bonds, Bond futures, Bond future options, CMS cap/floor, Ibor cap/floor, FX vanilla option and FX single barrier option. CDS (single name and index) support is available but currently being enhanced and is subject to change.

For more information, see the product coverage.

Assets 4
You can’t perform that action at this time.