I’m new to Strata and found it very interesting at first sight. I was looking for pure Java financial library and this really seem to fit my needs.
My main need now is related to the pricing of a fixed vanilla bond. I explain what I need. Currently I have a portfolio of vanilla Euro fixed bond. My goal is to price those bonds, and to calculate interest rate sensitivities.
My input is a set of rate corresponding to the current Euro Swap curve used as the base to discount the bonds.
I would like to:
- Create a curve from those spot rate
- Calculate the static spread from a bond , so the spread to be put identical on each rate that discounting the flow give me the market price I need.
- Then I need to add/substract the shock I need from this spread in order to be able to calculate parallel interest rate sensitivites on the same bond.
Is this possibile in strata? any suggestion, code would be so appreciated.