What is Strata?
Strata is the award-winning open source analytics and market risk library from OpenGamma.
Strata allows financial systems developers to build or enhance existing applications with standardized, off-the-shelf market risk components. It includes:
- Pricing, financial analytics and curve calibration
- Scenario evaluation
- Trade modelling
- Market data representation
- Financial foundations - currencies, indices, holidays, date adjustments, schedules, time-series
Strata has been built from the ground up to be lightweight and flexible. It does not impose any database, server or middleware requirements; these would be built on top of Strata. It provides a high-quality, open source Java toolkit that is designed to be used both in its entirety, as well as for its individual components.
Strata is also highly extensible. Its built-in coverage is implemented using exactly the same extension points as anybody else would use to add their own asset classes, integrate their own quant library, or add new pricing measures. This can be done externally, without needing to change or recompile the Strata code.
Who is Strata for?
Firms have long employed expensive resources – quants and quant devs – to build and maintain market risk functionality that is both non-alpha generating, and which offers no real competitive advantage. Where possible, they wish to leverage existing investments in systems and other in-house technologies, while looking externally for just the components required to fill their solution gaps. One alternative to building in-house is to look towards out-of-the-box offerings provided by financial software vendors. While these vendors offer solutions to industry business issues, the downside is that many firms have been burned by opaque, closed source vendor models, including vendor lock-in to make or support any changes, and “sledgehammer to crack a nut” software footprints.
Strata delivers the best of both worlds – industry standard market risk functionality, distributed as open source software to eliminate vendor dependency and return control back to in-house development teams. With open access to standard market risk components and source code, firms can accelerate the time-to-market of their solutions.
Strata is aimed at quantitative or systems developers tasked with delivering analytic solutions into trading, risk, clearing or prime servicing, or collateral businesses. Strata empowers developers with vetted open source components that deliver standard market risk functionality, allowing them to focus on the unique aspects of solutions delivery to their business stakeholders.
The ideal end user is one who:
- Has an appetite for internal build but does not want to build what is market standard.
- Has an appetite for self evaluation but does not want a traditional vendor services project engagement.
- Buys into the vision of transparent, standardised open source analytics.
- Is open to extending and building out new functionality within the toolkit.
Support during the getting started phase is available via public forums. For support beyond the initial getting started phase, such as for use in production, we strongly recommend commercial support with service level agreements.
Why is Strata open source?
Strata is the foundation layer of OpenGamma’s commercial services for the derivative market, helping market participants understand the cost of trading and optimise counterparty relationships. We take the view that the market risk foundations of our commercial services are standard functionality that can be widely-used in the industry. This allows it to be validated and extended externally. See the main website more information on the commercial services of OpenGamma.
Strata won the Duke’s Choice Award for Financial Services 2016, presented at JavaOne: