Timeline for Swap IRS - SOFR lookback
Current License: CC BY-SA 4.0
4 events
| when toggle format | what | by | license | comment | |
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| Sep 29, 2023 at 13:04 | comment | added | Nc27 | Thanks for your answer. I want to compute the swap manually (to be sure I understand the number Bloomberg gives me). Does this mean that to determine the swap MtM on 02/09/2023 (so before the first fixing date) I will have to compute a compound lookback for the first coupon ? Each coupon has a 3 months duration, so I was thinking to take the valuation date (02/09/2023) has a temporary fixing date and realize the compounding for 3 preceding months (and taking into account the lookback)! Any guidance would be helpful, thanks ! | |
| Sep 29, 2023 at 7:53 | comment | added | AKdemy | Just load it in SWPM and it will do all the work for you. You can set the lookback there. This answer explains how teh lookback is computed (vs the backward shift approach). | |
| S Sep 29, 2023 at 3:07 | review | First questions | |||
| Sep 29, 2023 at 4:02 | |||||
| S Sep 29, 2023 at 3:07 | history | asked | Nc27 | CC BY-SA 4.0 |