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).