Strata includes the following coverage:
|Asset class||Pricer 1||Calc API 2||Examples 3||Load from FpML|
Including Vanilla, OIS, Basis, Cross Currency, Variable Notional and Inflation
|STIR Future (Ibor)|
|STIR Future Option||
|Deliverable Swap Future|
Including physical and cash-settled
Normal, Black, SABR
|Capital Indexed Bond
Including support for US TIPS
|Bond Future Option||
|FX Vanilla Option||
Black, Vanna Volga
|FX Single Barrier Option||
Black, Trinomial tree
Including Single Name and Index
1 Pricer support means Strata includes one or more model implementations which provide pricing and risk calculations. These provide an API which, given the required market data, calculates a particular measure. For details on the specific calculations supported, please see the relevant asset class page.
2 The Calculation API allows measures to be calculated on mixed portfolios in a single operation, automatically calling the appropriate pricer, and returning a table of results. It also includes scenario capabilities. Support for the Calculation API means that the pricer is fully integrated using Strata’s standard measure names. This also implies support in the measure-level API
3 Code examples are included in the strata-examples module. This also indicates that the command-line tool includes an example portfolio and report for the asset class.
4 The CDS product and pricing model is currently being reviewed and refactored. Applications should expect the CDS product model and pricers to change incompatibly in a subsequent release.
Work is ongoing to broaden asset class coverage, and to provide examples.
Further coverage is prioritised based on commercial considerations.
Strata includes a full implementation of the multi-curve framework for curve calibration. The following asset classes can be used when defining curves:
- Ibor Fixing
- Term Deposit
- STIR Future (Ibor)
- Vanilla Swap (Fixed vs Ibor)
- OIS (Fixed vs Overnight)
- Basis Swap (Ibor vs Ibor and Overnight vs Ibor)
- Three Leg Basis Swap (Euribor)
- Cross-currency Swap (Ibor vs Ibor)
- Inflation Swap (Fixed vs Inflation)
- FX Swap