which instruments are used to strip the SOFR curve for the short term of the curve(below 1 y) ? there are no swaps with maturity under 1 year, right?
thanks
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The trading is being more and more active on 1-month and 3-month SOFR Futures. These quotes should help bridging with liquid swap quotes on mid-term maturities and stripping the appropriate curve.
https://www.cmegroup.com/trading/interest-rates/secured-overnight-financing-rate-futures.html
