RFR lookback support
Hi OG team, The OvernightRateCalculation and associated implementations of RateComputationFn do not support RFR features such as the “Lookback” or the “Observation Period Shift” (referenced in ISDA...
View ArticleNational Day of Mourning
Hi there, Would it be possible to get the NDOM (9th of Jan) added to the holiday calendar for the NYSE? Thanks! 4 posts - 2 participants Read full topic
View ArticleWrong option price?
Hi, I do not get the same theoretical price using BlackScholesFormulaRepository.price() as other B&S sources, e.g. Black Scholes Calculator | Good Calculators. I’m trying to just price an vanilla...
View ArticleZero and forward curves
Hi All, How can I print the resulting zero and forward curves from the Curve object after i generate the Yield curve. thank you! 2 posts - 2 participants Read full topic
View ArticleInterest Rates Swap - Yield Curve example
Looking for example creating yield curve for Interest Rates Swap. Thanks in advance. 1 post - 1 participant Read full topic
View ArticleFloating Coupon Bond Pricer
Hi, I am new to Strata and I need to price Floating Rate Bond. While I found com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer, I can’t find an approprite code for a floating...
View ArticleCalculating Forward Rates from Calibrated Zero Curves
Hello, I am following the example in the blog post here: Strata and multi-curve: Interpolation and risk and want to plot the forward rates as show in Figure 1. I have been able to build a calibrated...
View ArticleError in RatesCurveGroupDefinition.bindTimeSeries
Hi , My RatesCurveGroupDefinition has one user supplied curve and one definition. The RatesCurveGroupDefinition.bindTimeSeries(…) throws a nullpointer error when called with the user supplied curve...
View ArticleFixedCouponBond : endDate si outside range of bond
I was wondering why if you want the dirtyPriceFromCleanPrice, or the accruedInterest, or the dirtyPriceFromYield at the endDate of the PeriodicSchedule, you get : Exception in thread “main”...
View ArticleUnexpected behaviour MarketQuote sensitivity?
Hi, I use ScenarioMarketData in combination with ScenarioDefinition and MarketDataConfig. Then, for a parametrized curve (e.g. Smith Wilson), MarketQuote sensitivities return an error since there is...
View ArticleSingle Look CMS FRA
How would one price a single look constant maturity swap forward rate agreement? The single look FRA is fixed in arrear, therefore the CMS rate is observed and payment typically occurs 2 business days...
View ArticleYield calculates incorrectly on bonds with short/long last coupon
There is an issue about this bug : Yield calculates incorrectly on bonds with short/long last coupon · Issue #2592 · OpenGamma/Strata · GitHub I suggested a PullRequest but I had to close it as it...
View ArticleCustom Date Sequence
Hi, I am calibrating a AUD curve which includes 90-day Bank Bill Futures. 90-day Bank Bill Futures expire on the Second Thursday of each quarter. When creating an ImmutableIborFutureContractSpec to...
View ArticleFormula for the calculated Forward Rate of an FX Single trade
I have a portfolio of FX Single trades and am calculating the measures “Measures.PRESENT_VALUE” and “Measures.FORWARD_FX_RATE” for these trades. My question is: Which formula is used to calculate the...
View ArticleIf there is a holiday on the valuation date, what should be the tenor start...
Tenor Start date for overnight tenor is same as valuation date but I need your help for below scenario, If there is a holiday on the valuation date, what should be the tenor start date for overnight...
View ArticleExperimental Insurance liabilities project
Hi, I have begun on a small project implementing insurance liabilities in/on Strata. I want to make the pricing function general, so I used the conventions class (StandardPolicyConventions.java) to...
View ArticleClik here to view.
Periodic schedule deduplication of dates bug fix
Hello, While using Strata for FixedCouponBond interest calculation, we noticed a bug in the code as described below. Bug Fix MR: github.com/OpenGamma/Strata Fix for duplicate dates removal if...
View ArticleRemove Payment Period
Hi team, I have a resolved interest rate swap trade. I would like to remove the first floating payment period on leg 2 and keep the remaining payments. Looks like the remove method is deprecated:...
View ArticleExport Runnable JAR file
Hi team, I have a project which includes main/resources/com/opengamma/strata/config/library/ Within this folder I have a OvernightIborSwapConvention.ini that references a class in my main java folder...
View ArticleCash flow generation with first value incomplete
I’d like to generate the cash flow of the bond FR0013067196 (SCOR 3% 08/06/2026 -TV 08/06/2046) IssueDate : 2015-12-07 TargetMaturity : 2026-06-08 FixedRate : 3.00% Notional : 100 000 euros First...
View Article
![ONEW – KAKERA -Unmei no Piece- – EP [iTunes Plus M4A]](http://is1-ssl.mzstatic.com/image/thumb/Music221/v4/d0/fb/86/d0fb86a5-ba60-4bea-41fb-7f54c125f518/VEATP-45908.jpg/296x296bb.webp)
