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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
5 of the Best Python Libraries for Derivatives Finance
Python, the amazingly versatile programming language, is quickly becoming a preferred tool in the realm of derivatives finance. In addition to its ease of use and ability to help you speed up the development lifecycle, Python also offers a vast ecosystem of powerful math and science libraries. Many of these libraries are free to use and are well-suited to the modeling, analysis and computation
May 21, 2019
LIBOR Discontinuation – The End of the Beginning?
It’s likely that those of you keeping up with market events will be familiar with the landmark building pictured above. The Crown Court at Southwark is a court designated as London’s fraud centre, where cases concerning market manipulation have been tried. It’s safe to say that the current financial landscape is a tumultuous one—riddled with uncertainty, upheaval and, at times, dirty dealings. And
May 8, 2019
Eliminating the SOFR Basis: What Do We Lose?
In my previous blog post, I talked about the set of instruments that should be used to build the SOFR curve. Since SOFR is such a new benchmark rate, its derivative markets are not yet mature, and some care is needed when deciding which are the best instruments to use. I explained that there are two approaches to building the SOFR curve, the first being single-curve bootstrapping and the second is
April 30, 2019
Key Findings from FINCAD’s ‘End of Libor’ Survey
The countdown has begun. By the end of 2021, Libor, the benchmark rate underpinning more than $350 trillion of financial products, will be discontinued. The anticipated elimination of Libor is already creating significant challenges as financial institutions prepare to transition to an entirely new benchmark rate. To gain a better understanding of how firms will and are already being impacted by
April 17, 2019
FINCAD Named One of Canada’s Top SME Employers for 2019
We are pleased to announce that today FINCAD was named one of Canada's Top Small & Medium Employers of 2019. FINCAD has been recognized for our innovative work environment, health, financial, and family benefits, generous time off policy, training and skills development opportunities, social activities and community involvement. Now in its 6th year, Canada's Top Small & Medium Employers is an
April 15, 2019