Course Description

This course guides you through the features related to the Libor reform:

  • Setting up RFR (Risk Free Rate) rate indices and market data
  • Capturing trades using RFR indices: Swaps, Structured Flows, Bonds, Portfolio Swaps and Equity Swaps
  • Migrating existing Libor trades to RFR index trades.
  • Using the fallback method in case you do not want to migrate existing Libor trades

Course curriculum

  • 1

    Overview

    • Overview
  • 2

    SOFR Curves

    • SOFR Curves
  • 3

    Capturing RFR Swap Trades

    • Capturing RFR Swap Trades
  • 4

    LIBOR Migration

    • LIBOR Migration
  • 5

    LIBOR Fallback Pricing

    • LIBOR Fallback Pricing