Re: [Quantlib-users] RFR IR Options

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

Hi Kostas,

I believe there is no support in QuantLib as of now. There is an open
dev branch for swaptions.

We have added support for RFR caps and swaptions in ORE, following the
approach in Lyashenko / Mercurio.

https://github.com/OpenSourceRisk/Engine/blob/master/QuantExt/qle/cashflows/blackovernightindexedcouponpricer.cpp#L58

For the time being you might look into using the ORE library
"QuantExt" in conjunction with our ORE QuantLib fork. I am aware that
both the additional library and the modified QuantLib fork are not the
ideal solution and we aim at consolidating everything into the
original QuantLib, but I fear it is not realistic that this happens in
the short term.

BTW help from the community is greatly appreciated here, as we see it
in the case of RFR swaptions. However we want to make sure that both
QuantLib and ORE work on the new code after such a migration, i.e. the
task is not done when the functionality is added to QuantLib, it has
to be removed from QuantExt and dependencies in the other ORE
libraries have to be updated as well.

Thank you
Peter

On Wed, 10 May 2023 at 14:02, kmylonakis via QuantLib-users
<qua...@li...> wrote:
>
> 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
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