Questions tagged [sofr]

The Secured Overnight Financing Rate and the transition from Libor to SOFR.

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2 answers
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Is SOFR to replace LIBOR or Fed Fund Rate or both

I am a bit confused on what is going on regarding the new benchmark rate SOFR. My understanding is that SOFR is to replace Libor. However, I also get information on Fed fund OIS discounting is ...
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9 votes
1 answer
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What is the market standard for IR option pricing when moving to SOFR

From books it looks like market standards to price IR options, like swaptions, are SABR, LMM or mix of the two (SABR-LMM). But LMM models the forward LIBOR rate. What will happen to it once LIBOR ...
Goo Gle's user avatar
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7 votes
1 answer
729 views

Transition to SOFR Swaps and single curve pricing

As in the US there is a push to replace IBOR based swaps with SOFR rate does that mean that SOFR swap pricing will return to using a single curve framework as LIBOR swaps did pre the financial crisis?
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3 votes
1 answer
251 views

Compare equity option volatility under SOFR vs LIBOR

We know that after the big bang from LIBOR to SOFR, LIBOR will eventually disappear. This brings up one question that I do not have a clue to answer: How to evaluate derivative in a consistent manner ...
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10 votes
3 answers
982 views

LIBOR Cessation: Construction of Term-RFRs as LIBOR Fallbacks; Forward vs. Backward Looking

This question emerged from comments in this feed: OIS rate to build Term structure. I was wondering how the float leg of an IRS will look like in a post-LIBOR world. Assume the following time-line, ...
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7 votes
1 answer
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SOFR Discount Curve Construction in Nov 2021

On July 29, 2021, the Alternative Reference Rates Committee (ARRC) formally recommended the forward-looking term rates based on SOFR published by the CME Group. CME currently publishes Term SOFR for ...
JoeBass's user avatar
  • 123
5 votes
3 answers
3k views

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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3 votes
3 answers
851 views

Convexity Adjustment of Daily Compounded Swap under Hull-White Model

I am working on a problem that deals OIS daily compounded swap under Hull-White 1-factor model. I am struggling with pricing the floating leg, on a delayed payment date: $E^{T^p}_t[\prod_{i=0}^{n-1} (...
Fail Analysis's user avatar
2 votes
0 answers
105 views

How do forward-looking forward rates in the Mercurio's and Lyashenko's normal or extended FMM model represent EURIBOR rates

(By XIBOR I intend any EURIBOR or LIBOR rate. By RFR I intend SOFR for the USD and ESTR (€STR) for EUR.) I am mainly focused on the EUR rates market (but also a bit on the USD market) and looking for ...
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2 votes
1 answer
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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 ...
Daniel's user avatar
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2 votes
1 answer
1k views

DV01 on LIBOR vs. SOFR basis Swaps

If I had entered into a USD 10mn pay SOFR, receive 3M LIBOR swap with a 5yr maturity, I would have had a positive NPV of about 80k by the beginning of March due to the massive drop in SOFR (1.55 to 0....
Penelope's user avatar
2 votes
1 answer
2k views

RFR boostrapping using RFR OIS: Is convexity adjustment technically necessary?

For single-curve RFR bootstrapping, such as a SOFR-based discounting curve bootstrapped strictly using SOFR fixed-float OIS, I am trying to understand if convexity adjustments are technically ...
subnagus's user avatar
1 vote
2 answers
6k views

Does the USGS Holiday Calendar - used for SOFR Fixings - include Good Friday

Interest rate derivatives indexed on SOFR use USGS as the fixing calendar, which is defined in the FpML specs as: U.S. Government Securities Business Day (as defined in 2006 ISDA Definitions Section ...
amaidment's user avatar
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0 votes
1 answer
190 views

Is an 18 month OIS a bullet?

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 ...
JoeBass's user avatar
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