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 |