Blog

In my previous blog post, I talked about the set of instruments that should be used to build the SOFR curve. Since SOFR is such a new benchmark rate, its derivative markets are not yet mature, and some care is needed when deciding which are the best instruments to use. I explained that there are two approaches to building the SOFR curve, the first being single-curve bootstrapping and the second is

The countdown has begun. By the end of 2021, Libor, the benchmark rate underpinning more than $350 trillion of financial products, will be discontinued. The anticipated elimination of Libor is already creating significant challenges as financial institutions prepare to transition to an entirely new benchmark rate. To gain a better understanding of how firms will and are already being impacted by

We are pleased to announce that today FINCAD was named one of Canada's Top Small & Medium Employers of 2019. FINCAD has been recognized for our innovative work environment, health, financial, and family benefits, generous time off policy, training and skills development opportunities, social activities and community involvement. Now in its 6th year, Canada's Top Small & Medium Employers is an

In my last blog, I wrote about my experience with building the SOFR curve. Now FINCAD F3 can handle any instrument market data for curve building. But at the moment an important question is, “ Which instruments are the right ones to use to build the SOFR curve?” Right now, the market for SOFR-linked derivatives is just starting to take shape, and market quotes are becoming available for CME SOFR

Last week FINCAD held a knowledge-sharing breakfast briefing in Amsterdam, “ Using Python to Solve Complex Modelling, Valuation and Risk Challenges.” David Fletcher, Managing Director for FINCAD in EMEA reported, “I am pleased to say we had a great turnout with more than 50 individuals in attendance from the Netherlands, representing over 20 different financial institutions. It was a pleasure to