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I have been looking at SOFR/fixed swaps. On Bloomberg I found USOSFR1F which is the 18 month tenor on the SOFR OIS curve.

My understanding is that SOFR OIS pays annually. When bootstrapping to get a zero curve, should I treat this instrument as a bullet?

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  • $\begingroup$ Did you try "DES <Go>"? $\endgroup$ Nov 29, 2021 at 19:59
  • $\begingroup$ Yes. DES gives a generic description attributed to all the curve members. Has nothing specific regarding treatment of the 18 mo. $\endgroup$
    – JoeBass
    Nov 29, 2021 at 20:02

1 Answer 1

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SWPM is your friend when it comes to coupon schedules. If I recall correctly, 18m SOFR pays at 12 months and 18 months.

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