Strata v1.0 released

We are pleased to announce the release of Strata v1.0. The first full release of Strata, after two years of development. Strata is already in use in production and has now reached the point where v1.0 is appropriate. The key features are:

  • Measure-level API - a high level API calculating measures for one trade
  • Calc-level API - a high level API calculating measures for a mixed portfolio of trades
  • Pricer-level API - a low level API performing calculations for one trade
  • Market data structures - representations of curves, surfaces and other kinds of market data
  • Product domain model - beans representing different financial instruments
  • Conventions, indices, and holiday calendars for common markets

The supported asset classes are:

  • Swap - including Vanilla, OIS, Basis, Inflation, Cross Currency and Variable Notional
  • Deliverable Swap Future (DSF)
  • Constant Maturity Swap (CMS)
  • Ibor cap/floor
  • Swaptions
  • Forward Rate Agreement (FRA)
  • FX forward/spot - including Non-Delivered Forward (NDF)
  • FX swap
  • FX options - vanilla and single barrier
  • STIR futures/options
  • Bonds - Fixed coupon and Capital indexed
  • Bond futures/option
  • Term deposit
  • Bullet payment
  • CDS

The API refactoring of recent months is now effectively complete and we intend to maintain the v1.0 API with backward compatibility in mind. Note however that CDS is an exception to this, as it is currently undergoing major enhancements.

The full release notes are included in the Strata documentation. The code is available on GitHub at

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