This is one of the projects of Omega Partners Inc, OmegaQlproject to construct yield curve of Risk Free Rate, SOFR and TONAR.
I implement an yield curve of JPY OIS called for "TONAR" which is the RFR of JPY, and USD's whose RFR is called for "SOFR". Python is adoped for this project because major financial library, Qunatlib, is available for python platform and there are many kinds of mathematical library for financial numerical results.
The purpose of this project are those following:
- Construction for yield curve of USD's risk free rate(RFR), "SOFR", and JPY's, "TONAR".
- Pricing caplet and floorlet with each RFR whose is a "backward-looing term rate".
- Valuation for swap is calclated with backward-looking rate in float side.
Hasegawa, Takahiro, Pricing Interest Rate Derivatives after Ibor Fallback (June 30, 2019). Available at SSRN: https://ssrn.com/abstract=3677012 or http://dx.doi.org/10.2139/ssrn.3677012
Hofmann, Karl Friedrich, Implied Volatilities for Options on Backward-Looking Term Rates (May 5, 2020). Available at SSRN: https://ssrn.com/abstract=3593284 or http://dx.doi.org/10.2139/ssrn.3593284
Piterbarg, Vladimir, Interest Rates Benchmark Reform and Options Markets (February 14, 2020). Available at SSRN: https://ssrn.com/abstract=3537925 or http://dx.doi.org/10.2139/ssrn.3537925