OpenGamma/Strata
Dec 2024 – Dec 2024
1 Month active
Languages Used
Java
Technical Skills
API DevelopmentFinancial ModelingJavaTesting
Brian Weller
PROFILE
Brian Weller
Developed and integrated new Overnight-Overnight Swap Conventions for USD SOFR versus USD Fed Funds 3M within the OpenGamma/Strata repository, expanding the framework’s support for overnight swap strategies and enhancing pricing accuracy for related derivatives. The work centered on designing immutable convention classes and well-defined interfaces in Java, ensuring robust integration with existing analytics and risk pipelines. Comprehensive unit and integration tests were implemented to maintain code reliability and prevent regressions. The approach emphasized API development, financial modeling, and rigorous testing practices, resulting in structured, integration-ready features that broadened model coverage and improved cross-curve analytics within the Strata platform.
Overall Statistics
Feature vs Bugs
100%Features
Repository Contributions
1Total
Bugs
0
Commits
1
Features
1
Lines of code
1,227
Activity Months1
Your Network
7 peopleSame Organization
@opengamma.com3
Work History
December 2024
1 Commits • 1 Features
Dec 1, 2024December 2024: Focused on delivering substantial enhancements to OpenGamma/Strata by introducing Overnight-Overnight Swap Conventions. Key accomplishment: USD SOFR vs USD Fed Funds 3M Overnight-Overnight swap convention with immutable convention classes, well-defined interfaces, and extensive tests to ensure clean integration with the Strata framework. This expands market coverage for overnight swap strategies and improves pricing accuracy for related derivatives. Major bugs fixed: none reported for this month. Overall impact: broader model coverage, more reliable cross-curve analytics, and stronger integration with risk analytics pipelines. Technologies/skills demonstrated: Java, immutable object design, interface-driven architecture, and rigorous testing (unit/integration), with clear, PR-scoped commits (e.g., d42224551963357cdecbfe0b52b33b805442ccc4) and structured feature delivery.
1 Commits • 1 Features
Dec 1, 2024December 2024: Focused on delivering substantial enhancements to OpenGamma/Strata by introducing Overnight-Overnight Swap Conventions. Key accomplishment: USD SOFR vs USD Fed Funds 3M Overnight-Overnight swap convention with immutable convention classes, well-defined interfaces, and extensive tests to ensure clean integration with the Strata framework. This expands market coverage for overnight swap strategies and improves pricing accuracy for related derivatives. Major bugs fixed: none reported for this month. Overall impact: broader model coverage, more reliable cross-curve analytics, and stronger integration with risk analytics pipelines. Technologies/skills demonstrated: Java, immutable object design, interface-driven architecture, and rigorous testing (unit/integration), with clear, PR-scoped commits (e.g., d42224551963357cdecbfe0b52b33b805442ccc4) and structured feature delivery.
December 2024
Activity
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Quality Metrics
Correctness100.0%
Maintainability100.0%
Architecture100.0%
Performance60.0%
AI Usage20.0%
Skills & Technologies
Programming Languages
Java
Technical Skills
API DevelopmentFinancial ModelingJavaTesting
Repositories Contributed To
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