Re: [Quantlib-users] RFR option matters

[Peter C. <pca...@gm...>]

Hi Ryan,

we started with this

https://github.com/OpenSourceRisk/Engine/blob/master/QuantExt/qle/cashflows/blackovernightindexedcouponpricer.cpp#L43

However I am sure this will require amendments going forward as a
"market formula" for RFR Caps evolves.

Thanks
Peter

On Mon, 22 Nov 2021 at 15:47, R M <rm...@gm...> wrote:
>
> 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 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
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