LIBOR cessation proofing – for Quantlab and ARMS
Algorithmica is pleased to announce the successful development into future risk-free-rates (RFR) regime for its products Quantlab and ARMS.
It has been especially complex for the risk system ARMS, as it needs to handle legacy client transactions both left in the old LIBOR world, some that will have to use fallbacks and new products native to the new backward looking RFR-rate regime.
ARMS new and adjusted instrument types have been developed in close cooperation with our largest banking customer and will initially be rolled out for bonds, frn:s, float rate loans, and various types of swaps. Most common RFR-adjustment variants such as lookback, lockout and payments delays will be handled in all of these instrument types.
For more information about RFR-rates and LIBOR cessation, please contact an Algorithmica sales representative.