IBOR fallbacks

[Anonymous]

Hi,

I would like to know how ORE deals with IBOR fallbacks for pricing swaps etc when IBOR stops being published?

Thanks

[Roland Lichters]

Hi,
another good question. The next release is adding Libor fallback support to ORE.
The key is a new index in QuantExt (see qle/indexes/fallbackiborindex.*pp, once it is out) and a fallback configuration that is loaded into oreapp (see ored/configuration/iborfallbackconfig.*pp). The fallback index class references the original index (e.g. USD LIBOR 3M) and the new rfr index (e.g. SOFR), and it also contains the locked-in spread and the switch date for that index/term. Post switch, it will compute the fallback index fixings from rfr and spread. There will also be a short section in the user guide that explains the configuration.
Regards,
Roland

[Author]

Posts