Strata v1.2 released


#1

This release contains 61 fixed issues, 9 of which are bug fixes.

The key features are:

  • Refactor CDS: #1466, #1474
  • Caplet stripping, direct and SABR: #1448, #1422
  • Enhance CalculationListener: #1454, #1455, #1458
  • Remove Easter Monday from CATO calendar: #1440
  • Add inflation seasonality in curves: #1465
  • Smith-Wilson method: #1484
  • Add holidays and indices for CZK, ZAR, HUF, MXN, BRL and DKK-CIBOR2-DKNA13: #1428, #1429, #1445, #1435, #1491
  • Enhance indices, FloatingRateName and enum lookup: #1438, #1442, #1436
  • Allow base sensitivity to be split: #1424
  • Interpolator calculations supplied on demand: #1463, #1464
  • Add support for overriding first fixing offset and first rate: #1447, #1453

See the release notes for information on compatibility.

Feel free to give us feedback or ask a question in the forums1.


#2