Error loading Swaptions

Strata
1

Thanks for the good work.
I get this error loading swaptions - specs taken from a test file. https://www.dropbox.com/s/912uxjsr0qhufba/swaption-test.xml?dl=0
No registered converter found: interface com.opengamma.strata.product.swaption.SwaptionSettlement

Is this work in progress?

2

Hi,

Thanks for trying out Strata.

This error has occurred because your XML file includes an empty swaptionSettlement element. This would normally look something like:

<swaptionSettlement type="com.opengamma.strata.product.swaption.PhysicalSettlement"/>

It looks like there could be other problems as well, for example expiryDate would normally contain child elements specifying the the business day adjustment, whereas your file seems to contain a toString output.

We wouldn’t recommend constructing serialised formats such as this manually. Support for loading swaptions from formats such as FpML is coming soon. In the meantime the best approach is to construct the objects programmatically in the same way as our tests do.

If you have any more questions, or would like to discuss your requirements, then please don’t hesitate to get in touch directly.

3

Hi
Thanks for the reply. When do you plan to add the FpML functionality? BTW the stack is much easier to understand for a non developer than the previous versions of OG.

4

Thanks, that’s great to hear. Strata is being developed to be as simple and easy-to-use as possible.

We don’t have a set date for adding FpML support for swaptions right now. It’s in our backlog to be addressed before the v1.0 release which we expect in Q2 this year, but I will make a note of your interest. Our backlog is generally prioritised by our commercial commitments, so feel free to contact us if you would like to discuss other options.

5

I’d love to , but for now I have to develop the usecases within the daily work. An Insurance company would typically have a great variety of positions similar to fixed income that they need to value and risk asess with less market conventions available. Does OG have any experience with this kind of mapping?

6

Our goal with Strata is to provide standardized market risk calculations, while providing a framework into which other products can be written. Without more information, it is hard to judge whether your needs would fit with the standardized products, or require coding effort (which may or may not fit with Strata’s mission of standardized product pricing). FYI our paying customers get a say in what asset class coverage is provided.

If you can give any more details on a specific case you are trying to map, we may be able to help further.

7

Thanks. I will return with more information on this request when the requirements on our side are more clear.

8

Thanks, loading trades programmatically was easier than I initially thought:)

9

Thanks for the update. We’re pleased you found the API easy-to-use!