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. In an interview with Bloomberg News, Mr. Van der Velde said he expects derivatives markets to move away from the current system of “open ended” contracts where traders can bet against each other but not
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.