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I am trying to use Quantlib to price FloatingRateBond, Thanks to some other posts on the stack I managed to do it for Ibor indexes. I tried to use the SOFR, but I didn't succeed, I couldn't get around the SOFR being fixed at the end of the period as opposed to Ibor, as well as the compounding of the fixing. Is there a way to build a FloatingRateBond based on SOFR in QuantLib?

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    $\begingroup$ Resetting in arrears may not be the only new feature of your SOFR instruments. Some have lockout periods, lookback periods, etc. $\endgroup$ Commented Nov 24, 2022 at 16:53
  • $\begingroup$ Indeed, I have been looking to ISDA doc and it seems that there are few conventions to determine the reference period used for the compounding. If someone is interested: isda.org/a/alEgE/… . Based on my research I don't think QuantLib support them $\endgroup$
    – ayoub
    Commented Nov 25, 2022 at 11:20
  • $\begingroup$ In addition to the new overnight RFRs, there are conventions for floaters reset from a daily index in Brazil (CDI), Chile (Camara), and many others. I suggest you document exactly what you need, maybe make reference implementations in Python or Excel (explicit calculations, not library calls) and make a suggestion in github.com/lballabio/QuantLib/issues . See, for example, github.com/lballabio/QuantLib/issues/1089 $\endgroup$ Commented Nov 25, 2022 at 12:05

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