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 ?