Infos
Tuesday, April 4 2017
10:15 - 11:05
10:15 - 11:05
Room:
Albert Suite
Albert Suite
Description
Strata is the new Open Source library for market risk from OpenGamma, written in Java SE 8. It follows the many of the design principles of Joda-Time and JSR-310, bringing easy-to-use and high quality open source to the domain of quantitative finance and market risk. In this talk I will show how the library allows you to price financial instruments like interest rate swaps and options, demonstrating the key elements of the library including curves, conventions and holiday calendars. Join me to explore the future of open source market risk.