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ASW calculator to include RFR indicies #1274

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sonben opened this issue Dec 29, 2021 · 1 comment · Fixed by #2118
Closed

ASW calculator to include RFR indicies #1274

sonben opened this issue Dec 29, 2021 · 1 comment · Fixed by #2118

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@sonben
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sonben commented Dec 29, 2021

Market moving to RFR rates as the basis for quoting ASW. Specifically GBP, USD, CHF and EUR. Support will be needed for other currencies such as JPY, AUD, CAD and NZD.

Current ASW functionality only supports IBOR indices and this needs to be extended to RFR/OIS indices.

Regards

Ben Watson
[email protected]
@boring-cyborg
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boring-cyborg bot commented Dec 29, 2021

Thanks for posting! It might take a while before we look at your issue, so don't worry if there seems to be no feedback. We'll get to it.

@lballabio lballabio mentioned this issue Nov 21, 2024
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Allow use of risk-free rates in asset swaps lballabio/QuantLib
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@lballabio @sonben