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Strata – The open source library for market risk analytics

Written by: Jo Burnham
19th April 2016
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Version 1.0 of Strata, the open source market risk library from OpenGamma, was released on 15 July.

Taking two years to develop, Strata provides a stable, lightweight and easy-to-use library for market risk, written entirely in Java. It has been developed to provide all the foundations necessary to build or enhance applications with standardised, off-the-shelf market risk functionality. Simply load your market data and portfolio, perhaps via the built in FpML/CSV support, and easily access high quality analytic measures such as present value, PV01 and greeks. Behind the scenes, Strata uses Adjoint Algorithmic Differentiation for the fastest and most efficient sensitivity calculations.

A big focus has been on making the library lightweight and easy-to-use. It is available in Maven Central, making it simple to get started, with external dependencies kept to a minimum. It does not impose any database, server or middleware requirements, and is designed to be used both in its entirety, as well as for its individual components. As a foundational library, it contains all the financial concepts necessary for pricing and risk, including indices, holidays, trade representations, market data structures, curve calibration in the multi-curve framework, and scenario evaluation.

Strata currently provides analytics for Interest Rate Swap, FRA, Swaption, CMS, Cap/Floor, DSF, STIR future/option, FX forward, FX NDF, FX swap, FX vanilla/barrier option, Bonds, Bond future/option, CDS and Term Deposit. See the product coverage documentation for more details.

Strata is released as open source software under the Apache v2 license and is available on GitHub. OpenGamma provides commercial support, warranty, indemnification and input to the roadmap. Commercial extensions include integration with Microsoft Excel and CCP margin calculations.

So, if you are a Java developer working for a hedge fund or bank looking for an easy-to-use library for valuation and risk calculations, and you want to work with a high quality codebase with full transparency and control over every aspect of the deployment, we think Strata could be just what you are looking for.