Can Strata do dual stripping?


#1

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)?


#2

Hello Jules,

The short answer to your question is yes.

The longer answer is that we are transferring the calibration flexibility of the OG Platform to Strata. The first version the curve calibration is now available in the master branch (not in the 0.7 Release). The full flexibility that was available in OG Platform is not there yet but will be added in the coming weeks or months.

You can see an example of such calibration in the code: CalibrationDiscountingSimpleUsd2Test.

I’m adding more example and flexibility to the code as we speak.

If you want to discuss what you are trying to achieve or the developments that are in our road map in that direction, don’t hesitate to contact us directly.

Regards,

Marc Henrard