All Questions
Tagged with risk-free-rate libor-cessation
6 questions
7
votes
1
answer
3k
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Term SOFR rate formula
The following website gives the specifications of the CME Term SOFR reference rates: CME Term SOFR.
Point 1 in the link above specifies that the tenors that are currently supported are 1m, 3m, 6m, and ...
- 6,490
2
votes
0
answers
98
views
Risk Free Rates and Libor
With the demise of Libor, and the arrival of the new risk free rates (RFRs), what are the changes that are occurring with regards to :
Valuation of existing derivatives
Creation of new derivatives
...
- 2,197
4
votes
1
answer
2k
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Is there a difference between JPY TONA and JPY TONAR?
Wikipedia defines TONAR as "Tokyo Overnight Average Rate".
The official Bank of Jappan website mentions TONA, rather than TONAR.
I suspect the two, TONAR and TONA, are in fact two terms ...
- 6,490
4
votes
1
answer
473
views
Current liquidity of USD OIS-SOFR Swaps
We have now moved to discounting using OIS-SOFR swaps on cleared products and SOFR products in general have picked up in liquidity since last time this question was asked. I'd therefore like to ...
- 6,490
3
votes
1
answer
2k
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Libor transition: Building SOFR discount curve
As I understand that after 2023 the Libor will be discontinued and OI rates like SOFR will ...
- 397
5
votes
3
answers
4k
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The exact mechanics of USD OIS Swaps: SOFR, EFFR & Libor cessation
EDIT 2020-11-17:
thank you to @user42108 for the link to OpenGamma conventions PDF in his answer below. The PDF is comprehensive and explains the mechanics of USD OIS Swaps based on Effective Federal ...
- 6,490