Questions tagged [risk-free-rate]
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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 ...
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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 ...