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LIBOR Transition: Hitchhiker’s guide to the non-linear RFR galaxy

Murex’s Didier Loiseau and Kamal Hirbli explore the unchartered territories of non-linear RFR trading in this 45 min webinar. Discussion topics include: 1. Market situation 2. Cartography of non-linear products • Vanilla options • Vanilla bermudas • CMS • Non-rates payoffs • Exotic callable swaps 3. Next steps 4. Q&A

  • Editorial Team
  • June 13, 2021
  • 1 minute

Murex’s Didier Loiseau and Kamal Hirbli explore the unchartered territories of non-linear RFR trading in this 45 min webinar.

Discussion topics include:
1. Market situation
2. Cartography of non-linear products
• Vanilla options
• Vanilla bermudas
• CMS
• Non-rates payoffs
• Exotic callable swaps
3. Next steps
4. Q&A

 

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