Timeline for Compounding arrear SOFR Forward rate/curve
Current License: CC BY-SA 4.0
11 events
| when toggle format | what | by | license | comment | |
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| Aug 24, 2021 at 19:03 | vote | accept | Student | ||
| Aug 24, 2021 at 14:53 | comment | added | Jan Stuller | @Student: the 1y swap issued 9 months ago has to trade identically to a "fresh" 3m swap (if such SOFR swap exists), otherwise there would be arbitrage: yes, these "off-the-run" swaps can definitely be used to build a curve, if "on-the-run" swaps for shorter tenors are not available. | |
| Aug 24, 2021 at 14:37 | comment | added | Student | Is it practically allowed to use an e.g. a 1-year tenor swap rate issued 9 months ago (with 3 month left to maturity) as the current 3-month swap rate? or am I understanding this wrong? Similarly I assume you can use a 1-year tenor SOFR swap issued 6 month ago with 6 months left to maturity as your current 6 month SOFR swap rate? | |
| Aug 24, 2021 at 10:34 | history | edited | Jan Stuller | CC BY-SA 4.0 |
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| Aug 24, 2021 at 10:27 | comment | added | Jan Stuller | @Student: I made an edit to my answer to make it less "vague". Let me know if that works for you. | |
| Aug 24, 2021 at 10:27 | history | edited | Jan Stuller | CC BY-SA 4.0 |
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| Aug 24, 2021 at 9:39 | comment | added | Student | Would it be sensible to approximate the 90 days Compounded SOFR Forward curve + fix spread, by using this daily compounded OIS SOFR swap curve, adding the fixed spread implied by the 90 days fixed spread adjustment, and also allowing some credit risk allowance between a daily vs 3-month swap, and lastly converting the annual payment stream based in the OIS swap curve to a quarterly annual quote? Or what would you suggest if I'm trying to approximate the fallback forward curve with the limited data/resources. Because I'm not sure how I would do what you mentioned above given the vagueness. | |
| Aug 24, 2021 at 8:45 | comment | added | Jan Stuller | Yes, exactly... I just wanted to highlight that the granularity is the only "problem" to solve here... | |
| Aug 24, 2021 at 8:22 | comment | added | BrownianBread | I'm not sure its that different on the interpolation side of things, as a similar interpolation is required when moving to the longer end of a Libor curve? | |
| Aug 24, 2021 at 8:19 | history | edited | Jan Stuller | CC BY-SA 4.0 |
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| Aug 24, 2021 at 8:08 | history | answered | Jan Stuller | CC BY-SA 4.0 |