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From: R M <rm...@gm...> - 2021-11-22 14:46:34
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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 |