With the new RFR swaps (Say $IRS Fixed to compounded SOFR), there are several adjustments that can be done to allow some room for the coupon on the floating leg to be known a couple of days ahead of its payment date (I guess to allow some time for settlement validation/reconciliation):
- Interdeal broker: Shift the payment date from the calculation date by +2BD
- Lookback WITHOUT observation period shift: Meaning each daily fixing date is shifted by say -2bd but the weights (observation periods day counts) remains the same
- Observation period shift: All the observation period is shifted from the calculation period.
For 1 and 3, and for performance reason (whether pricing a trade or bootstrapping a curve), one could estimate the cash flows by a ratio of the cap factor at the end of the period / start of it.
Is there a similar approach for lookback WITHOUT observation period shifts?
Hope my question is clear.