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.

Release v0.11.0

Highlights

• New asset class - Capital Indexed Bond
• Refactored trade model treating holidays and securities as reference data
• Added dedicated index observation objects for querying market data
• Type-safe attributes can be attached to trades
• Add Canadian holidays and indices
• Allow holiday calendars to be queried beyond known dates

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.

Release v0.10.0

Highlights

• New asset classes - CMS, CMS cap/floor and Ibor cap/floor
• Calculation function design simplified, with all functions operating as multi-measure
• Enhance FX conversion of function results
• Enhanced FpML parsing, including inflation swaps
• Control over the date generated for each node in curve calibration
• Synthetic curve calibrator, calibrating on synthetic instruments
• Schedule generation handling all-stub schedules, plus performance tweaks

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).

	PV	PV01	Bktd PV01	Gamma PV01	Par Rate	CS01	Bktd CS01	Cashflows
Swap	X	X	X	X	X			X
FRA	X	X	X	X	X			X
CDS	X	X	X			X	X
FX Forward/Spot	X	X	X		X
FX NDF	X	X	X		X
FX Swap	X	X	X		X
Generic Future	X
Generic Future Option	X
Term Deposit	X	X	X		X
STIR Future (Ibor)	X	X	X		X
Deliverable Swap Future	X	X	X
Term Deposit	X	X	X		X
Bullet Payment	X	X	X

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.

Release v0.9.0

Highlights

• Simpler calculation runner
• Unified pricing for Swaption models
• Add currency exposure measure to pricers
• Efficient data structures for large scenarios

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).

	PV	PV01	Bktd PV01	Gamma PV01	Par Rate	CS01	Bktd CS01	Cashflows
Swap	X	X	X	X	X			X
FRA	X	X	X	X	X			X
CDS	X	X	X			X	X
FX Forward/Spot	X	X	X		X
FX NDF	X	X	X		X
FX Swap	X	X	X		X
Generic Future	X
Generic Future Option	X
Term Deposit	X	X	X		X
STIR Future (Ibor)	X	X	X		X
Deliverable Swap Future	X	X	X
Term Deposit	X	X	X		X
Bullet Payment	X	X	X

Release v0.8.0

Highlights

• Curve calibration
• New asset classes
• Loaders, pulling data from XML and CSV
• Enhanced market data and calculation engine

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).

	PV	PV01	Bktd PV01	Gamma PV01	Par Rate	CS01	Bktd CS01	Cashflows
Swap	X	X	X	X	X			X
FRA	X	X	X	X	X			X
CDS	X	X	X			X	X
FX Forward/Spot	X	X	X		X
FX NDF	X	X	X		X
FX Swap	X	X	X		X
Generic Future	X
Generic Future Option	X
Term Deposit	X	X	X		X
STIR Future (Ibor)	X	X	X		X
Deliverable Swap Future	X	X	X
Term Deposit	X	X	X		X
Bullet Payment	X	X	X

Release v0.7.0

Initial release of Strata.

Highlights

• Calculation API
• Market data API
• Reporting API
• Scenario API
• Pricing and risk measures (coverage below)
• Clean trade models, guided by FpML
• Foundations, including day counts, schedules, holidays and indices

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 and generic Future Options.

	PV	PV01	Bktd PV01	Gamma PV01	Par Rate	CS01	Bktd CS01	Cashflows
Swap	X	X	X	X	X			X
FRA	X	X	X	X	X			X
CDS	X	X	X			X	X
Generic Future	X
Generic Future Option	X