Risk Analytics/Calculations for FRNs


#1

I have started to explore the Strata engine and so far I love it. Tested out calculating analytics like duration, convexity for Fixed Coupon Bonds and it worked well. Wondering if there is a way to do so for floating rate bonds ?


#2

At present, we have support for fixed coupon and captial indexed (inflation) bonds. We do not have support for floating rate (Ibor / FRN) or for bills. We are aware that these are missing asset classes, and they will no doubt be added at some point, however we cannot confirm when. Our asset class work tends to be priortised by our commercial customers, which is one route to get FRNs push forward.


#3

Hi Stephen, Any suggestions on what the current customers of Strata do ? I doubt someone can use a framework that only works for part of their portfolio and floating rate bonds is something that most if not all fixed income portfolios will have. Do you know what they do ?

I am happy to call OpenGamma as a commercial user but i doubt i have the budget to sway the development priorities!


#4

I’ll contact you privately, so we understand your use case better.