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With the demise of Libor, and the arrival of the new risk free rates (RFRs), what are the changes that are occurring with regards to :

  • Valuation of existing derivatives
  • Creation of new derivatives

In the former case, how do the current range of models (Black, HJM, BGM) need to be amended ?

What product valuation models have to be revised.

Where will you get term information from if all of the RFRs are overnight ?

What other changes are occurring ?

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