Structured products and modeling


#1

Hi Guys,

Many thanks for your work on Strata Api. My question is about structured products and modeling. Is there a way on Strata to create dynamicly (at runtime) an instrument which is an agreggation of more simple instrument ? For example, an aggregation of 3 options, or a bond and an option, etc…

My second question is about payoff script modeling. Is there a built-in way to construct an option payoff with a scripting language ? It’s a wonderfull functionnality for structurers desks…

Many thanks for your help !


#2

There is no current code in Strata to deal with structured products. Our design is open however, so it is perfectly possible to add new trades & products, plus the functions necessary to price them.

Similarly, there is no current functionality for option payoff to be determined by a script at the moment.

It is possible that Strata may add these features in the future but it is not on our short term roadmap (although the roadmap can be influenced by paying customers).

Hope that helps, even if it not the answer you hoped for.