IBOR Reform Support

CME are due to switch to SOFR discounting on 17 July 2020 and LCH on 17 October 2020. Will Strata support the relevant curve instruments for this transition e.g. a new OvernightFutureCurveNode in time for this switch, and if so do you have a rough (or firm) ETA?

We will need to support curves with SOFR for our commercial products, so this will happen. In fact, a small part of the work has started on a branch, but it needs quite a bit more work before it is ready. Hope that helps