Curve calibration and csa currency

is there some code working through the csa-currency-changes from:

i want to be able to price trades on various non-standard csas and – while it’s clear you can do it – i am struggling to find the right pieces to glue together.


Strata is our Open Source code providing core risk components. Margin calculations are part of our commercial SaaS offering. If you want to explore what Strata has, there is an examples project in the source code which is generally a good place to start.