An asian capfloor pricer against RFR

Strata
1

When Libor cease to be published, capfloors will refer to a risk free rate (RFR) that will be set in arrears. This will require a new pricer.

Is Strata planning to release an asian capfloor pricer against RFR? Is there a timeline for this?

Thank you,
Sandra

2

We are aware of these new products, but haven’t yet decided if we will implement them in Strata.

3

Thank you, @stephen.

Perhaps you know when decision will be made whether these products will be implemented in Strata or not.

4

@stephen, any update on the new pricers for RFR?

5

There are a couple of branches that we started with different part of this.
. Trade model for caplet overnight in-arrears: OvernightInarrearsCapletFloorletPeriod
. Formula for Asian options in SABR: GitHub - OpenGamma/Strata at topic/cap-asian
We will push the pricers in the coming weeks.

6

Thank you, @stephen, for the update.

7

Hi @stephen,

Could you please advice when OG is planning to release product and pricer for capfloor against RFR?

The branch you referred earlier is released but does not include required changes.

Please advice if and when it is planned to implement these products and pricers in Strata.

Thank you,
Sandra

8

Hi Sandra,

Some pricing code in the SABR model is available in SabrOvernightInArrearsCapletFloorletPeriodPricer. This is based on Sander Willems formula development implemented in SabrInArrearsVolatilityFunction.

Regards,

Marc

9

Also for Black/Normal model, there is VolatilityOvernightInArrearsCapletFloorletPeriodPricer.