What are the biggest challenges for Rates Quants in 2019? Most quants have been through a lot over the past years-shifting their SABR models in JPY swaptions, fixing the FVA models for negative rates, adjusting to the new cash formula for EUR swaptions, dealing with a multitude of discount rates depending on the CSA, adding copulas to midcurves. Most everyone knows how to change vols to deal with high strike payers/CMS. SOFR is looming on the horizon and IBOR-OIS may be a nonissue for many countries soon enough.

So, what is the biggest problem facing Rates Quants now? What will 2019 bring as the biggest sets of challenges?

(Preferably not the pricing of some asianed collared CMS spread trade...something more fundamental).

  • 2
    $\begingroup$ The last sentence is funny $\endgroup$ – Permian Feb 10 at 12:31
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    $\begingroup$ Please stop upvoting and start answering the question ;) $\endgroup$ – Alex C Feb 11 at 0:31
  • $\begingroup$ not on the pricing side but a quick one on analytics, 2YR spread tightened to 1/8 end of last year and the cash market is even harder to make money now, so optimizations on top of the pricing schema is more needed. Even for one algo family reinforcement learning, there are so many niches to consider, and I'm not sure if anything comprehensive came up already $\endgroup$ – numerairX Feb 13 at 21:55

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