Version 1.2.0

This release contains 61 fixed issues.

Highlights include:

• Refactored and reimplemented CDS
• Caplet stripping
• Better support for inflation seasonality
• More holiday calendars and indices
• Override first fixing offset and rate in swaps

v1.2.0-M4

Strata v1.2.0-M4

12 January 2017

This is a milestone release in preparation for v1.2.0.

Release v1.1.2

Strata v1.1.2

3 November 2016

This minor release contains 5 fixed issues - 1 bug fix and 4 enhancements.

• Bug fix - Example should output to target directory: #1404
• Enhancement - Inflation seasonality: #1407
• Enhancement - Enhance schedule generation: #1403
• Enhancement - Add SCALED shift type: #1402
• Enhancement - More example: #1391

Release v1.1.1

This minor release contains 8 fixed issues - 3 bug fixes and 5 enhancements.

• Bug fix - No scaling is applied to single-node bucketed gamma in the measures API: #1383
• Bug fix - ExplainKey.FROM_FIXING_SERIES is only populated if the fixing date equals the valuation date: #1380
• Bug fix - Measure is not Joda-convertible: #1386
• Enhancement - Add serializable interface: #1393
• Enhancement - Added GBP/EUR cross-currency convention: #1390
• Enhancement - Support single-node bucketed gamma for BulletPaymentTrade: #1382
• Enhancement - Add ValueWithFailures: #1396
• Enhancement - Allow Strata to be on the classpath more than once: #1394

Release v1.1.0

This release contains 62 fixed issues -
15 of which are bug fixes.

The key features are:

• Measure-level and Calc-level API support for all asset classes:
  #1263,
  #1344,
  #1331
• Additional holiday calendars and indices for SEK, DKK and PLN:
  #1373,
  #1326
• Enhanced performance for swap pricing:
  #1293,
  #1329
• More flexible loaders:
  #1267,
  #1269,
  #1245,
  #1249,
  #1282
• Support FpML parameterized notional schedule:
  #1242
• Enhanced explain present value:
  #1256,
  #1270,
  #1362
• Better error messages:
  #1280,
  #1275,
  #1225,
  #1254
• FRA payment dates are now calculated correctly:
  #1301

Feel free to give us feedback or ask a question in the forums.

Release v1.0.0

The first full release of Strata, after two years of development.
Strata is already in use in production and has now reached the point where v1.0 is appropriate.

The key features are:

• Measure-level API - a high level API calculating measures for one trade
• Calc-level API - a high level API calculating measures for a mixed portfolio of trades
• Pricer-level API - a low level API performing calculations for one trade
• Market data structures - representations of curves, surfaces and other kinds of market data
• Product domain model - beans representing different financial instruments
• Conventions, indices, and holiday calendars for common markets

For more information, see the website.

Coverage

Includes trade models, pricing and reports for interest rate swaps (including vanilla, OIS, variable notional and cross-currency), FRAs, Constant Maturity Swaps (CMS), Swaptions, FX Forward/Spot, FX NDF, FX Swap, Term Deposit, Bullet Payment, Deliverable Swap Futures, STIR Futures/Options (Ibor) and generic securities.

Additional pricer-level asset class coverage is available for Bonds, Bond futures, Bond future options, CMS cap/floor, Ibor cap/floor, FX vanilla option and FX single barrier option. CDS (single name and index) support is available but currently being enhanced and is subject to change.

For more information, see the product coverage.

Release v0.16.0

Highlights

• Calculation API tightened to clearly separate scenario from non-scenario
• DSF based on standard market price, not decimal/fractional price
• Curve calibration with a Fed-Fund swap
• More control over IborFuture curve nodes
• Add calendar and indices for Norway
• New surface interpolators - surface data must now be sorted

For more information, see the website.

Coverage

Includes trade models, pricing and reports for interest rate swaps (including vanilla, OIS, variable notional and cross-currency), FRAs, CDS (single name and index), generic Futures, generic Future Options, FX Forward/Spot, FX NDF, FX Swap, Term Deposit, Bullet Payment, Deliverable Swap Futures, STIR Futures (Ibor).

Additional pricer-level asset class coverage is available for Bonds, Bond futures, Bond future options, CMS, CMS cap/floor, Ibor cap/floor, Swaptions, STIR future option, FX vanilla option and FX barrier option.

For more information, see the product coverage.

Release v0.15.0

Highlights

• New measures API
• Extended set of measures access via the calculation API
• Renamed PV01 measures
• Add a calculator to obtain the notional equivalent
• Add currency exposure and current cash to some instruments
• Add support for known amount stubs on swaps (fixed and ibor legs)

For more information, see the website.

Coverage

Includes trade models, pricing and reports for interest rate swaps (including vanilla, OIS, variable notional and cross-currency), FRAs, CDS (single name and index), generic Futures, generic Future Options, FX Forward/Spot, FX NDF, FX Swap, Term Deposit, Bullet Payment, Deliverable Swap Futures, STIR Futures (Ibor).

Additional pricer-level asset class coverage is available for Bonds, Bond futures, Bond future options, CMS, CMS cap/floor, Ibor cap/floor, Swaptions, STIR future option, FX vanilla option and FX barrier option.

For more information, see the product coverage.

Release v0.14.0

Highlights

• Simplified and extensible calculation API
• Curve sensitivity rebucketing
• FX single barrier option trade model and pricer
• FX vanilla option Vanna Volga pricer
• SABR swaption calibrator
• Additional swap conventions
• Abstraction for market data parameters

For more information, see the website.

Coverage

Includes trade models, pricing and reports for interest rate swaps (including vanilla, OIS, variable notional and cross-currency), FRAs, CDS (single name and index), generic Futures, generic Future Options, FX Forward/Spot, FX NDF, FX Swap, Term Deposit, Bullet Payment, Deliverable Swap Futures, STIR Futures (Ibor).

Additional pricer-level asset class coverage is available for Bonds, Bond futures, Bond future options, CMS, CMS cap/floor, Ibor cap/floor, Swaptions, STIR future option, FX vanilla option and FX barrier option.

For more information, see the product coverage.

Release v0.12.0

Highlights

• New security and position domain model
• Replaced generic future/option by generic security
• Inflation swap conventions
• Canadian holidays and indices
• Improved FX rate triangulation
• Enhanced examples

For more information, see the website.

Coverage

Includes trade models, pricing and reports for interest rate swaps (including vanilla, OIS, variable notional and cross-currency), FRAs, CDS (single name and index), generic Futures, generic Future Options, FX Forward/Spot, FX NDF, FX Swap, Term Deposit, Bullet Payment, Deliverable Swap Futures, STIR Futures (Ibor).

Additional pricer-level asset class coverage is available for Bonds, Bond futures, Bond future options, CMS, CMS cap/floor, Ibor cap/floor, Swaptions, STIR future option and FX vanilla option.

For more information, see the product coverage.