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OpenGamma Strata

Overview

See: Description

Measure-level API 
Package Description
com.opengamma.strata.measure
Provides the ability to calculate high-level measures on financial instruments.
com.opengamma.strata.measure.bond
Base package for calculation functions.
com.opengamma.strata.measure.calc
Additional calculation parameters.
com.opengamma.strata.measure.capfloor
Calculation functions for Ibor cap/floor products.
com.opengamma.strata.measure.cms
Calculation functions for constant maturity swap (CMS) products.
com.opengamma.strata.measure.credit
Calculation functions for credit products.
com.opengamma.strata.measure.curve
Integration code that allows strata-calc to use and calibrate curves.
com.opengamma.strata.measure.deposit
Calculation functions for deposit products.
com.opengamma.strata.measure.dsf
Calculation functions for DSF products.
com.opengamma.strata.measure.fra
Calculation functions for FRA products.
com.opengamma.strata.measure.fx
Calculation functions for FX products.
com.opengamma.strata.measure.fxopt
Calculation functions for FX option products.
com.opengamma.strata.measure.index
Calculation functions for index products.
com.opengamma.strata.measure.payment
Calculation functions for payment products.
com.opengamma.strata.measure.rate
Base package for calculation functions.
com.opengamma.strata.measure.security
Calculation functions for futures products.
com.opengamma.strata.measure.swap
Calculation functions for swap products.
com.opengamma.strata.measure.swaption
Calculation functions for swaption products.
Pricer-level API 
Package Description
com.opengamma.strata.pricer
Calculators for financial instruments.
com.opengamma.strata.pricer.bond
Calculators for bonds.
com.opengamma.strata.pricer.capfloor
Calculators for Ibor cap-floor.
com.opengamma.strata.pricer.cms
Calculators for CMS.
com.opengamma.strata.pricer.common
Common code for pricing.
com.opengamma.strata.pricer.credit
Calculators for credit instruments, such as Credit Default Swap (CDS).
com.opengamma.strata.pricer.curve
Provides the ability to calibrate curves.
com.opengamma.strata.pricer.deposit
Calculators for rate deposit instruments, such as term deposit.
com.opengamma.strata.pricer.dsf
Calculators for Deliverable Swap Futures (DSFs).
com.opengamma.strata.pricer.fra
Calculators for Forward Rate Agreement (FRA) instruments.
com.opengamma.strata.pricer.fx
Calculators for FX instruments, such as FX forward and FX swap.
com.opengamma.strata.pricer.fxopt
Calculators for FX options.
com.opengamma.strata.pricer.index
Calculators for products based on rate indices, such as Short Term Interest Rate futures (STIRs).
com.opengamma.strata.pricer.model
Common code for model pricing.
com.opengamma.strata.pricer.option
Pricer support classes for options.
com.opengamma.strata.pricer.payment
Calculators for payment instruments.
com.opengamma.strata.pricer.rate
Calculators for rates instruments, such as Forward Rate Agreement (FRA) and interest rate swap.
com.opengamma.strata.pricer.sensitivity
Calculators for sensitivities.
com.opengamma.strata.pricer.swap
Calculators for interest rate swaps.
com.opengamma.strata.pricer.swaption
Calculators for swaptions.
Market data structures 
Package Description
com.opengamma.strata.market
Data structures for market data.
com.opengamma.strata.market.amount
Defines representations of amounts typically used as result types.
com.opengamma.strata.market.curve
Definitions of curves.
com.opengamma.strata.market.curve.interpolator
Interpolators for interpolating in one and two dimensions.
com.opengamma.strata.market.curve.node
Curve nodes.
com.opengamma.strata.market.explain
Support for explaining results.
com.opengamma.strata.market.model
Market data related to pricing models.
com.opengamma.strata.market.observable
Market data for quotes.
com.opengamma.strata.market.option
Entity objects for options.
com.opengamma.strata.market.param
Market data based on parameters.
com.opengamma.strata.market.sensitivity
Entity objects for sensitivities.
com.opengamma.strata.market.surface
Definitions of surfaces.
com.opengamma.strata.market.surface.interpolator
Interpolators for surfaces.
Product domain model 
Package Description
com.opengamma.strata.product
Entity objects describing trades and products in financial markets.
com.opengamma.strata.product.bond
Entity objects describing bonds.
com.opengamma.strata.product.capfloor
Entity objects describing Ibor cap/floor.
com.opengamma.strata.product.cms
Entity objects describing Constant Maturity Swap (CMS) or CMS cap/floor.
com.opengamma.strata.product.common
Entity objects shared between other packages.
com.opengamma.strata.product.credit
Entity objects describing Credit Default Swap (CDS) and CDS index.
com.opengamma.strata.product.credit.type  
com.opengamma.strata.product.deposit
Entity objects describing financial instruments representing a simple deposit with interest.
com.opengamma.strata.product.deposit.type
Conventions and templates to aid the construction of deposits.
com.opengamma.strata.product.dsf
Entity objects describing Deliverable Swap Futures (DSFs).
com.opengamma.strata.product.fra
Entity objects describing a forward rate agreement (FRA).
com.opengamma.strata.product.fra.type
Conventions and templates to aid the construction of FRAs.
com.opengamma.strata.product.fx
Entity objects describing financial instruments in the foreign exchange market.
com.opengamma.strata.product.fx.type
Conventions and templates to aid the construction of foreign exchange products.
com.opengamma.strata.product.fxopt
Entity objects describing options in the foreign exchange market.
com.opengamma.strata.product.index
Entity objects describing contracts based on rate indices.
com.opengamma.strata.product.index.type
Conventions and templates to aid the construction of rate index products.
com.opengamma.strata.product.option
Entity objects describing common option concepts.
com.opengamma.strata.product.payment
Entity objects describing simple payment financial instruments.
com.opengamma.strata.product.rate
Entity objects describing the rate-based financial instruments.
com.opengamma.strata.product.swap
Entity objects describing a swap.
com.opengamma.strata.product.swap.type
Conventions and templates to aid the construction of rate swaps.
com.opengamma.strata.product.swaption
Entity objects describing options on swaps, known as swaptions.
Supporting toolkit 
Package Description
com.opengamma.strata.basics
Basic types for modelling reference data.
com.opengamma.strata.basics.currency
Representations of currency and money.
com.opengamma.strata.basics.date
Tools for working with dates.
com.opengamma.strata.basics.index
Entity objects describing common market indices, such as LIBOR and FED FUND.
com.opengamma.strata.basics.location
Representations of a geographic location.
com.opengamma.strata.basics.schedule
Basic financial tools for working with date-based schedules.
com.opengamma.strata.basics.value
Basic financial tools for working with values.
com.opengamma.strata.calc
Calculates risk measures on trades, applies scenarios and manages market data.
com.opengamma.strata.calc.marketdata
Provides the ability to obtain market data and perform calibrations and scenario perturbations.
com.opengamma.strata.calc.runner
The calculation runner.
com.opengamma.strata.collect
Root package for common data structures used by Strata.
com.opengamma.strata.collect.array
Array data structures.
com.opengamma.strata.collect.function
Additional functional interfaces not supplied by Java SE 8.
com.opengamma.strata.collect.io
Provides utilities for the management of input and output.
com.opengamma.strata.collect.named
Named data structures.
com.opengamma.strata.collect.result
Result data structures.
com.opengamma.strata.collect.timeseries
Time-series data structures.
com.opengamma.strata.collect.tuple
Tuple data structures.
com.opengamma.strata.data
Basic types to model market data.
com.opengamma.strata.data.scenario
Basic types to model market data across scenarios.
com.opengamma.strata.loader
Tools for loading data from files.
com.opengamma.strata.loader.csv
Loader that reads market data from CSV files.
com.opengamma.strata.loader.fpml
Loader that can convert files to financial instruments.
com.opengamma.strata.math
Base package of the strata-math project.
com.opengamma.strata.report
Reporting Framework
com.opengamma.strata.report.cashflow
Types for reporting and formatting cashflows.
com.opengamma.strata.report.framework.expression
Provide the ability to extract data using textual expressions.
com.opengamma.strata.report.framework.format
Provide the ability to format calculated values.
com.opengamma.strata.report.trade
Types for reporting and formatting trades.

Overview

Strata consists of a number of modules:

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Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.