Credit swaptions


#1

Hello,

First of all, thank you for all the work you’re doing!

I have been successfully experimenting with the previous OG project the pricing of Credit Swaptions.
Can it be done with Strata? My first impression was that this functionality has not yet been developed, but I might have missed it.

Thanks
Luigi


#2

Hi!
Sorry for the delayed response.

You are right that we had credit swaptions in OG-Platform, but don’t have it in Strata. I’ve asked internally, and sadly we don’t have any current plans to add credit swaptions to Strata. Our asset class coverage is driven by our commercial needs. We can prioritise developer based on customer needs however, so feel free to contact us if you would like to investigate Strata commercial support.
Stephen


#3

Hi Stephen,
Thank you for your reply.
Would you be able to point me to any resource explaining the architectural/logical differences between OG and Strata? I am still a bit unsure about the advantages of switching to the latest version.

Best regards
Luigi


#4

The documentation for Strata is here but it doesn’t include a comparison with OG-Platform. The key difference is that Strata is a Java library, available in Maven Central, whereas OG-Platform was a large scale server that required lots of setup, such as databases. Where OG-Platform defines the databases and external code to call Bloomberg et al, Strata simply expects callers to pass that data in. If you are only using the analytics, Strata is much simpler and cleaner to work with - fewer dependencies and more thoughtful design.

Hope that helps
Stephen