I am trying to understand the compounding in Basis Swap. I had 2 type of basis swap trade as below

  1. USD SOFR FF BASIS LCH – compounded FF (USD-Federal Funds-H.15-OIS-COMPOUND)
  2. USD LIBOR 3M FF 3M BASIS – weighted FF (USD-Federal Funds-H.15)

Could somebody explain here why we are using different Fed Fund index here for SOFR and LIBOR?

Thanks so much!



Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Browse other questions tagged or ask your own question.