developments in a changing financial landscape. This paper discusses the change from US$-LIBOR to the Secured Overnight Financing …

of fixings for LIBOR interest rate swaps in terms of the relevant swap rates that reference the Risk-Free Rate that will … replace a particular LIBOR post its cessation. The nonlinear mappings proposed from the swap rate that references the Risk …-Free Rate index to the LIBOR swap rate that can be used contractually to value derivative instruments, such as vanilla European …

and the optimal exercise strategies in terms of swap rates for both fixed-rate payer and receiver swaps. Finally, we show …