As of May 31, 2023, we have updated our Code of Conduct.

Hot answers tagged

6 votes

Discounted price of an option

The process $Y_t:=(S_t-K)^+$ cannot be the price of a traded asset because of Jensen's inequality. Instead, it is the price of the option which is a martingale. In the Black-Scholes model, the ...
Daneel Olivaw's user avatar
3 votes

What are the quantitative models for modelling the SOFR rate, the IR products when Libor rates end

The reference you want is The conversion to SOFR from LIBOR was well worked and well publicised, concerning the transition issues and what were the ultimate ...
Attack68's user avatar
  • 8,412
1 vote

Quantlib SOFR swap repricing across 2 different dates

I realise the question is specifically about Quantlib, but I wanted to highlight an answer using Rateslib for Python, the answer is around 1.05mm USD as you predicted. Setup your initial curve (note I ...
Attack68's user avatar
  • 8,412

Only top scored, non community-wiki answers of a minimum length are eligible