Strata


Topic Replies Activity
Curve calibration and csa currency 2 April 3, 2020
Caplet Floorlet SABR calibration normal model 1 March 26, 2020
Building BRL_CDI curve 4 March 18, 2020
CNY REPO 1W frequencies 2 March 4, 2020
Issue creating an InflationNodalCurve 3 February 28, 2020
SABR implementation details 2 February 27, 2020
Can't load other currency into Strata Report Tool demo 2 February 23, 2020
InflationNodalCurve compounded seasonality check 1 February 19, 2020
Par Sensitivity to only selected Nodes of the Fwd curve 3 February 17, 2020
Yield calculation issues in ex dividend period? 6 February 12, 2020
UK Inflation Bond Pricing 1 February 10, 2020
Real Return Bonds, Strips (zero coupon) and Callable Bond pricing 5 January 23, 2020
Schedule calculation resulted in duplicate adjusted dates ERROR 2 January 23, 2020
JGB Accrued / Yield Calcuations 3 December 11, 2019
Yield calculation for UST bond maturing on 2020-05-31 settling 2019-11-29 1 December 2, 2019
Question on ImmutableRatesProviderBuilder indexCurves method 4 November 27, 2019
Fpml ingest settlement date not set 3 November 20, 2019
Yield / Duration diff on new issue gilts vs Bloomberg 11 November 7, 2019
Parallelising RatesCurveCalibrator#calibrate 5 October 31, 2019
MtM XCCY instruments 4 October 30, 2019
Pricing a 4y9m 3m forward 3M CDOR swap 4 October 28, 2019
Money market Bond price/yield calculation 2 September 30, 2019
IBOR Reform Support 2 September 27, 2019
Calculation Swap leg DV01 / Duration 2 August 29, 2019
SABR adjoint is abnormally slow 4 August 8, 2019
Fed funds curve with meeting date swaps immediately prior to meeting 1 July 30, 2019
Create InterpolatedNodalCurve with discount factors (no calibration) 5 July 30, 2019
RatesCurvesCsvLoader: 'Date' vs. 'Day count' vs. 'Label column' 2 July 24, 2019
Create MarketData in-memory 2 July 24, 2019
FX Forward Valuation 15 July 11, 2019