Risk analytics firm FINCAD recently hosted a LIBOR briefing in Amsterdam, which included a technical presentation on switching to SOFR and SONIA. The talk covered One specific areas; curve building, transition hurdles and derivative pricing. Additionally, the presenter touched on options and exotics noting that there has been little guidance on how these products will be transitioned. A guest speaker explored the practical implications of the switch to ESTR.
Risk analytics firm FINCAD recently hosted a LIBOR briefing in Amsterdam, which included a technical presentation on switching to SOFR and SONIA. The talk covered three specific areas; curve building, transition hurdles and derivative pricing. Additionally, the presenter touched on options and exotics noting that there has been little guidance on how these products will be transitioned. A guest speaker explored the practical implications of the switch to ESTR.