Following the introduction of the Risk-Free Rates (RFRs) in Fairways Debt in June 2023 to comply with the global standard implementation for floating interest rates, new rates are now available on the platform.
These rates can be selected from the list of available indexes when you price a cap, a floor or a collar in the Pricers application or simulate a quotation in the Quick Quotation module.
The following indexes are available for caps, floors and collars in the Pricers application and the Quick Quotation module:
- CHF: SARON
- EUR: EURIBOR, ESTER and Term ESTER
- GBP: SONIA and Term SONIA
- USD: LIBOR, SOFR, Term SOFR, Average SOFR and Fed Funds
Caps, floors and collars defined as transactions or floating rate options in the platform are now integrated in the Risk application for the supported indexes. See Refresh the Portfolio for more information.
See Risk-Free Rates (RFRs) for more information on RFRs.
See Indexes for more information on term rate indexes.
See the Pricers section for more information on the pricing procedures.
See the Quick Quotation section for more information on the quoting procedures.