[Quantlib-users] RFR option matters

[R M <rm...@gm...>]

Hello QuantLib users,

My employer is going through the rigmarole of sourcing RFR option data
(e.g. SONIA cap/floor/swaption premiums/vols).

It always amazes me that when you ask a data provider for details on the
instrument to which a data point corresponds, you don't get a response like
"yes, that information is clearly fundamental, here you go". It's more like
"everyone knows". But recently we had one provider tell us that their RFR
cap/floor data relates to cap/floors that include the first period, and
another told us that theirs don't. It also transpired that one provider was
using middle-of-period time-to-maturities for mapping cap/floor premiums to
vols, which just seems barbaric to me. (I guess this
<https://en.wikipedia.org/wiki/Asian_option#European_Asian_call_and_put_options_with_geometric_averaging>
is to blame for that.)

I don't think QL has started implementing vol surface construction from RFR
option data (?), for which these issues are... fundamental. But have
discussions on this begun? If not, happy to open a GitHub issue and
continue this there.

Regards,
Ryan