Strata

Trade loader for FRAs

This page details the Strata CSV format for loading FRAs. See the overview page for details of other assets classes.

Trade loader file format

The trades file is a CSV-formatted file. The columns may be specified in any order. The CSV format is flexible, and the input can specify trades in various ways.

FRAs can be specified using two different column sets - by convention and by full details. The two column sets can be mixed in the same file. In addition, a single file can contain other asset classes, such as Swaps or FX. Just add the union of the column headers and fill in the necessary data on a row by row basis.

Example

This example file specifies a FRA trade by convention.

Strata Trade Type, Id Scheme, Id,     Trade Date, Convention,            Buy Sell, Period To Start, Notional, Fixed Rate
Fra,               OG,        123401, 2017-06-01, GBP-LIBOR-3M,          Buy,      P2M,             1000000,  0.5,

Note that Microsoft Excel prefers the CSV file to have no spaces after the comma.

FRA by convention

These columns are used when loading a FRA trade by convention. See also the overview page for additional optional columns that can be used to specify the identifier and counterparty.

Column name Mandatory? Description
Strata Trade Type Mandatory The type of the trade, “Fra”, case insensitive
Start Date Conditional The unadjusted start date, such as “2017-06-01”, see accepted formats
End Date Conditional The unadjusted end date, such as “2017-09-01”, see accepted formats
Period To Start Conditional The period from the trade date to the trade start date, such as “P2M” or “2M”
Convention Mandatory The FRA convention, which must be an Ibor index, such as “GBP-LIBOR-3M”
Buy Sell Mandatory Whether the FRA is “Buy” or “Sell”
Notional Mandatory The notional amount, currency defined by the convention
Fixed Rate Mandatory The fixed rate, as a percentage, such as “1.2” for 1.2%
Date Convention Optional The business day convention, such as “Following” or “ModifiedFollowing”
Date Calendar Optional The holiday calendar to use, such as “GBLO”

Valid combinations of conditional fields are as follows (other combinations are not allowed):

  • “Start Date” and “End Date”
  • “Trade Date” and “Period To Start”

FRA by full details

These columns are used when loading a FRA trade by full details. See also the overview page for additional optional columns that can be used to specify the identifier and counterparty.

Column name Mandatory? Description
Strata Trade Type Mandatory The type of the trade, “Fra”, case insensitive
Start Date Mandatory The unadjusted start date, such as “2017-06-01”, see accepted formats
End Date Mandatory The unadjusted end date, such as “2017-09-01”, see accepted formats
Index Mandatory The floating index, such as “GBP-LIBOR-3M”
Interpolated Index Optional The floating index to interpolate with, such as “GBP-LIBOR-6M”
Buy Sell Mandatory Whether the FRA is “Buy” or “Sell”
Currency Optional The currency of the notional amount, defaults to the currency of the index
Notional Mandatory The notional amount
Fixed Rate Mandatory The fixed rate, as a percentage, such as “1.2” for 1.2%
Day Count Optional The day count convention, such as “Act/360”
Date Convention Optional The business day convention, such as “Following” or “ModifiedFollowing”
Date Calendar Optional The holiday calendar to use, such as “GBLO”
FRA Discounting Method Mandatory The discounting method to use, “ISDA”, “AFMA”, or “None”, defaults to “ISDA”