In order to provide enhancements to our users between major releases, ALib™ 3.26_6 is now available. The highlights are:
LIBOR/SOFR Fallback Spread Adjustments can be supplied as an input to the curve builder.
Interpolation enhancements allow a reference forward to be defined as the corresponding SOFR/OIS forward + an interpolated spread.
Curve builders can imply the term structure of this spread from market values.
Together these features help ensure ALib™ provides a robust a solution at each stage in the transition to the alternative reference rates.
New generic forward rate functions leveraging the object/convention framework introduced in recent releases.
Support has been added for Ubuntu 20.04. This continues ALib's tradition of supporting the widest range of platforms and interfaces. Since ALib™ uses a single common codebase across all variants, we ensure both interoperability and consistency of results everywhere.
For further information, email the support team or contact us via our website.
