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  • #6793
    Anonymous
    Participant

    Hi,

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

    Thanks

    #6800
    Roland Lichters
    Keymaster

    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

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