Product Coverage

Strata includes the following coverage:

Asset class Pricer 1 Calc API 2 Examples 3 Load from FpML Load from CSV
Swap
Including Vanilla, OIS, Basis, Cross Currency, Variable Notional and Inflation
FRA
FX Forward/Spot
FX NDF
FX Swap
STIR Future (Ibor) 4
STIR Future Option
Normal
4
STIR Future (Overnight) 4
Deliverable Swap Future 4
Term Deposit
Bullet Payment
Swaption
Including physical and cash-settled

Normal, Black, SABR
Bill 4
Fixed-Coupon Bond 4
Capital Indexed Bond
Including support for US TIPS
4
Bond Future 4
Bond Future Option
Black
4
FX Vanilla Option
Black, Vanna Volga
FX Single Barrier Option
Black, Trinomial tree
CMS
Including cap/floor

SABR
Ibor cap/floor
Normal, Black
CDS
Including Single Name and Index
Generic Security MtM 4

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 CSV loader for securities refers to the security identifier, with the security details expected to be available in the reference data.

Additional products

Commercial customers of OpenGamma get access to additional products. Currently this includes FX binary options.

Further product coverage in Strata will be based on commercial considerations.

Curve calibration

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
  • FRA
  • 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