[Quantlib-users] RFR IR Options

[kmylonakis <kmy...@pr...>]

Hello dear community,

Excuse me if the below is very naive, but I am a not so experienced QuantLib user.

Based on my understanding the library can't handle at the moment RFR Caps/Floors and swaptions. Or am I missing something? I am searching if the decay function is applied to IR options when RFR rates are as underlying i.e. an adjustment similar to the one suggested by Lyashenko & Mercurio 2019.

Thank you very much in advance,
Kostas