Accurate, flexible and consistent pricing and valuations designed to support clients navigate the IBOR transition with confidence.
Accelerate the IBOR Transition
A next-generation, flexible multi-curve framework
The transition away from IBOR represents one of the biggest challenges facing financial services firms and demands a significant transformational effort from market participants. This transformation covers processes, models and systems, including pricing, valuation, risk management and booking. Quantifi’s next-generation IBOR replacement solution supports the construction and calibration of LIBOR replacement curves, offers accurate, extensible analytics and an open architecture that seamlessly integrates with existing systems.
Construct and calibrate to the new IBOR replacement curves including ESTR & SOFR curves and SOFR futures.
Risk & What-if Analysis
Flexible multi-curve framework built using the latest technology innovations
This is How We Do it
Interest Rate Curve Construction
Construct and calibrate ESTR & SOFR curves and SOFR futures. Match the market with OIS/CSA discounting, basis curves, negative rates & new ARR curves.
Accurately calculate compensation amounts from changing IBOR to ARR to avoid impact on risk measures.
Scenario & What-if Analysis
Analyse the impact of switching a trade from an old reference rate to a new reference rate and support clients in analysing legacy trades.
Intuitive to Use
The IBOR Transition: Challenges and the Road Ahead
This paper explores the development of the IBOR reform. The first part details the status quo, some of the various aspects and challenges involved and outlines the effects of migrating from IBORs to risk-free rates (RFRs). The second part of the paper outlines the preparations firms need to make to accommodate a smooth transition.
Calibrating the SOFR Term Structure
The current global reform of interest rate benchmarks is radically changing the status quo, with important consequences for pricing and risk management of financial instruments. Dmitry Pugachevsky, Director – Research, covers SOFR futures, calibrating SOFR curves, lookbacks and the challenges for XVA simulations.
The IBOR reform represents one of the biggest challenges facing financial services firms. Successful management will require significant change and strategic risk management. Preparing for the transition will require firms to establish a strategy to assess the impact and navigate transition risks. Is your firm ready?
This process has revealed a number of challenges for financial markets participants, with many having to rethink their operations and technology infrastructure and adopting new technologies to help with the transition.