I believe most of the change over did happen in Dec 2021, as I was writing some of the code for that. If I had to guess I would say this is a nothing-burger, like y2k.
No, I don't have any documents I can point you to about other conversions. The conversions I did was for corporate credit - single name cds's, indexes, index tranche, etc.
I gotcha. Well from what I'm seeing the biggest problem has to do with the CLOs.
Anyways if you can find any more information please share it here or tag me in the coming days/weeks. I'm trying to read and learn everything I can about it.
Anything not converted is probably because the sheer entrenchment of libor throughout the code as opposed to any nefarious reasons. There's probably a ton of old code that needs to be changed.
I believe most of the change over did happen in Dec 2021, as I was writing some of the code for that. If I had to guess I would say this is a nothing-burger, like y2k.
Could you pull up some sources confirming that?
Also do you know what area of finance you were writing the code for? Like mortgage, student loans, etc.
No, I don't have any documents I can point you to about other conversions. The conversions I did was for corporate credit - single name cds's, indexes, index tranche, etc.
I gotcha. Well from what I'm seeing the biggest problem has to do with the CLOs.
Anyways if you can find any more information please share it here or tag me in the coming days/weeks. I'm trying to read and learn everything I can about it.
You may also see what you find at isda.org. For instance:
https://www.isda.org/2022/05/16/benchmark-reform-and-transition-from-libor/
Anything not converted is probably because the sheer entrenchment of libor throughout the code as opposed to any nefarious reasons. There's probably a ton of old code that needs to be changed.