Can Strata do dual stripping?
@julesyasuna wrote: can strata be used dual dual stripping? that is, in its current state of maturation is dual stripping currently avaialable (and accurate as it is in OG platform)? Posts: 2...
View ArticlePeriodicSchedule roll dates issue
@kenhorn wrote: Hi, I'm getting an error when trying to build a swap, with a roll date of 29 or 30, where February is a scheduled month. "FAIL: Date '2015-02-28' does not match roll convention 'Day30'...
View ArticleStrata 0.8 released
@jonathan wrote: We are pleased to announce the release of Strata 0.8. This is the second preview release of Strata, our next-generation market risk toolkit. Strata 0.8 adds: New asset class coverage...
View ArticleCurve values in Strata
@levy wrote: Hi OG team, First of all thanks for great deal of work put into development of your tools while keeping it open source. I'd like to obtain values from calibrated yield and discount...
View ArticleTypes of market data in Strata
@alty wrote: Hi OG team - I'm sorry in advance if the question is unclear or confusing, I'm not that savvy on financial terms. Is there any documentation of the different types (and samples) of market...
View ArticleStrata 0.9 released
@jonathan wrote: We are pleased to announce the release of Strata 0.9. This is the third preview release of Strata, our next-generation market risk toolkit. Strata 0.9 includes many foundational and...
View ArticleHow to get started?
@shang.madeleine wrote: Hey,I'd like to play around with strata/opengamma OG and see what it's capable of (and assess if it fits the firm's needs).Unfortunately the documentation is pretty...
View ArticleError loading Swaptions
@oyvfos wrote: Thanks for the good work.I get this error loading swaptions - specs taken from a test file. https://www.dropbox.com/s/912uxjsr0qhufba/swaption-test.xml?dl=0No registered converter...
View ArticleSwaption pricing strata 0.9
@oyvfos wrote: Hi, I am trying to price a swaption trade, using the pricer module as I understand the MarketEnvironmentis not yet supported. For this a ImmutableRatesProvider is required. Is it...
View ArticlePV01 and DV01 on Strata
@corjj wrote: Hey people - thanks for the amazing work. I'm comparing Strata results (for simple swaps) to Bloomberg's terminal - and I'm getting pretty close results in PV01 (there is some offset,...
View ArticleStrata v0.10 released
@stephen wrote: We are pleased to announce the release of Strata 0.10. This is the fourth preview release of Strata, our next-generation market risk toolkit. Strata 0.10 includes many foundational and...
View ArticleValue at Risk Calculations
@sdumir wrote: Hi, We have used the OG-Platform as an Analytics library and the Math library even more heavily. Keen to know if a Historical or Monte Carlo Simulation VaR measure is planned in Strata...
View ArticleCurrency Values Array
@sdumir wrote: Hi, Was wondering if there is any easy way to expose Currency Values Array as MarketData in Strata as presently the example has limited market data exposed? Thanks in advance. Best...
View ArticleBonds valuation
@oyvfos wrote: Hi,In the LegalEntityDiscountingProvider, how does the repocurves and the issuercurve relate to the discountcurves of the ImmutableRates provider? altering the nodes on the repocurve...
View ArticlePerturbationMapping
@sdumir wrote: Hi, In the HistoricalScenarioExample, in order to extend it to a Currency Swap, one would need a PerturbationMapping for FxRates. The present MarketDataFilter are Curve based, is there...
View ArticleSwap pricing without a fixing time-series
@corjj wrote: Hi guys,How would you go about pricing swaps without any historical fixing market data?Specifically, in something like DiscountIborIndexRates#rate, there is this code: public double...
View ArticleStrata v0.11 released
@stephen wrote: We are pleased to announce the release of Strata 0.11. This is the fifth preview release of Strata, our next-generation market risk toolkit. Strata 0.11 includes key changes to the...
View ArticleError while building Strata
@suhasghorp wrote: I am trying to build Strata in Eclipse and followed the instructions. Most of the projects are good except in Strata-function project, I have a compiler error.In package...
View ArticleStrata v0.12 released
@stephen wrote: We are pleased to announce the release of Strata 0.12. This is the sixth preview release of Strata, our next-generation market risk toolkit. Strata 0.12 includes a new security and...
View ArticleStrata Web UI: Is missing?
@Lee_Fig wrote: One thing I liked about the previous pre-Strata code base was the web interface functionality. I don't seem to be able to find this with Strata i.e the command line only. I may be...
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