ASW calculator to include RFR indicies

[sonben]

trafficstars

Market moving to RFR rates as the basis for quoting ASW. Specifically GBP, USD, CHF and EUR. Support will be needed for other currencies such as JPY, AUD, CAD and NZD.

Current ASW functionality only supports IBOR indices and this needs to be extended to RFR/OIS indices.

Regards

Ben Watson [email protected]

[boring-cyborg[bot]]

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