Benchmark reform goes non-linear

Terminating Libor will bring great challenges to the pricing of non-linear rate products


Vladimir Piterbarg examines the impact of interest rate benchmark reform and the upcoming Libor transition on options markets. This article addresses the various modelling challenges the transition brings, with a specific focus on the impact on swaptions of the clearing houses’ discounting switch, and on the consequences of Libor transition for Libor-in-arrears swaps, caps and range accruals as typical representatives of a very wide range of Libor derivatives


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