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Managing the ‘Big Bang’ of the SOFR Transition
Last weekend, the clearing houses changed their pricing methodology on $80 trillion in Libor interest-rate swaps by switching to a new benchmark rate, known as the secured overnight financing rate, or SOFR, for the purpose of discounting the cashflows. Previously the Fed Funds rate was used for discounting. The switch, which was referred to in a recent Bloomberg article as a “big bang” is
FINCAD to Hold Breakfast Briefing on the €STR, SOFR and SONIA Transition
The impending phase out of the key benchmark rate, Libor, will bring major changes to discount and forward rates in many countries and regions. In fact, all firms with interest rate exposures will be affected by the transition away from Libor to some extent. For those companies that trade in many different currencies and instrument types, the change will have an even greater impact. In an effort
September 5, 2019
Using the Basis Swap Markets to Prepare for Libor’s End
Do you have interest rate swaps with exposure to Libor fixings beyond 2021? If so, you may have cause for concern. Valuing these positions requires published Libor fixings, and after 2021 Libor is likely to be discontinued. The reality is that these fixings may never arrive. When we reach the point where Libor is no longer published, this will immediately trigger fallback clauses in the existing
August 22, 2019
How Python Makes Data Science More Accessible
The use of the infinitely flexible programming language, Python, is taking off within Finance. In fact, Python is increasingly being used by leading hedge funds and other financial institutions as their multi-purpose tool of choice. And now there is an extensive ecosystem with numerous Python libraries that make data science more accessible to these firms than ever before. In FINCAD’s latest video
August 14, 2019
Are You Prepared for the Libor Transition?
Uncertainty surrounding how the industry will transition away from Libor and towards new risk-free rates (RFRs) is starting to dissipate. There is now clarity on legal dates and a clear idea of what a Libor replacement will look like. In FINCAD’s newly released video, Christian Kahl, PhD and I discuss five of the major challenges of the Libor transition and the role that technology will play in
July 30, 2019
5 Popular Blog Posts on Developing with Python
In recent years, the popularity of Python for development has exploded. In fact, earlier this year, it was Python that was used by scientists to develop a new algorithm for taking the first ever photo of a black hole. The potential use cases for this powerful and easy-to-work-with programming language seem endless. Certainly, in the financial sector we have seen incredible uptake of Python
July 17, 2019