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I will refer to Risk-Free Rates (RFR) for greater generality, instead of OIS or SOFR. There are two dimensions to your question, I will treat them separately. How to adjust a LIBOR vol surface to price RFR options? When lacking RFR option quotes, I think there is no evident solution. Some pointers I would consider: From anecdotal evidence I've seen for ...


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There are two aspects to consider here. Aspect 1 is funding the notional of the Xccy swap and the coupons (strictly speaking this is not FVA). Aspect 2 is funding the MtM of the swap throughout the life of the trade if you hedge the non-CSA trade with an offsetting transaction against a CSA counterparty (usually the "street") (this would classify ...


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