OpenGamma Strata

The strata-math module provides mathematical support specifically designed for the risk and pricing of financial instruments.

Warning for Developers: This module is primarily intended to be used as internal implementation code. Applications should avoid referencing this module directly, as it may change at any point without guarantees of backwards compatibility.

The strata-loader module provides tools for loading data into the Strata system from multiple external data formats. Currently, it supports loading data from:

• FpML (Financial products Markup Language)
• CSV files

The strata-collect module provides a collection of specialized data structures and utility types used throughout the Strata ecosystem. These structures are designed to provide type safety, functional programming capabilities, and common mathematical or temporal representations.

Key components include:

• array: Wrappers for arrays and matrices.
• function: Additional Java SE 8 functional interfaces.
• io: Utilities for handling common file formats.
• named: Extended enum implementations.
• range: Representations of numerical or discrete ranges.
• result: A wrapper for handling success or failure outcomes (similar to an Either or Result type).
• timeseries: Structures for holding values that change over time.
• tuple: Implementations of the 'pair' concept.
• type: Typed strings used to prevent 'stringly-typed' programming errors.

The strata-product module provides the core domain model for financial market trades and products within the Strata ecosystem. It defines the fundamental building blocks used to represent financial instruments and their associated characteristics.

Key domain concepts included in this module:

• trades: Representations of executed financial transactions.
• products: The underlying financial instruments.
• securities: Specific financial instruments that can be traded.
• conventions: The market rules and standards applied to products and trades.
• templates: Reusable definitions for creating products and trades.

The strata-basics module provides the foundational financial building blocks used across the Strata ecosystem. It implements core domain concepts required for financial modeling and calculations, including:

• Reference data: Core data entities used for financial definitions.
• Money and currency: Representations of monetary amounts and their associated currencies.
• Day counts: Logic for calculating day counts and year fractions.
• Day rolling: Rules for adjusting dates (e.g., business day conventions).
• Schedule generation: Tools for creating periodic schedules (e.g., coupon or payment dates).
• Indices: Support for financial indices.

The strata-market module provides the core domain model for market data within the Strata ecosystem. It is used to represent and manage various financial market data structures required for pricing and risk analysis.

Key domain concepts included in this module:

• Curves: Yield curves and other interest rate/discount curves.
• Surfaces: Volatility surfaces and other multi-dimensional market data.
• Interpolators: Logic for interpolating values between market data points.
• Identifiers: Unique markers for market instruments and data points.
• Sensitivity: Representations of Greeks or other risk sensitivities.
• Amounts: Financial quantities and units.

Strata is a modular analytics and market risk library. The project is organized into the following modules:

• Basics: Core fundamental types and utilities.
• Calc: Calculation engines and logic.
• Collect: Collection utilities.
• Data: Data handling and structures.
• Examples: Demonstrations of Strata usage (includes a JavaFX GUI).
• Loader: Data loading capabilities.
• Market: Market data representations.
• Measure: Analytics and measurement logic (core module).
• Pricer: Pricing engines.
• Product: Financial product definitions.
• Report: Reporting capabilities.