Questions tagged [sofr]
The Secured Overnight Financing Rate and the transition from Libor to SOFR.
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Discounting on SOFR/SONIA/Euribor Options
I'm modelling the price of SOFR/SONIA/EURIBOR options on their corresponding futures. Is there a convention or details on whether discounting should take place or not? If there is no discounting why ...
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Options on SOFR Futures + SONIA futures modelling
I am modelling options on SOFR and SONIA futures using the Bachelier model (under a first approximation). The discounted price for a call option is
$$
C(K) = e^{-rT}[(F_0 - K)N(d) + \sigma\sqrt{T}n(d)]...
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How to build a HW1F tree for SOFR?
I have previously built a HW1F trinomial tree (following the HW paper), and I manage to calibrate sigma(t) to swaptions and to price some derivatives. I discretise the tree quarterly (LIBOR3M).
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How to calculate FX Forward Rate to fit bloomberg
If we take the EUR/USD currency pair, how do we calculate the forward rate to match Bloomberg's FRD function?
I assume that if we use both the curve 514 - EUR OIS ESTR and 490 - USD SOFR (vs. FIXED ...
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SOFR Curve with Meeting Dates Jump Modelling
When building SOFR curve with meeting dates, i include 1m SOFR Futures and 3m SOFR futures to imply jumps from FOMC meeting dates, but two meeting dates might fall within the same quarterly futures ...
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Bootstrapping SOFR swap curve
I want to know key tenors of SOFR swap for building discounting curve for pricing derivatives.
To build a similar curve to that of Bloomberg ICVS & SWPM, Which instruments should I use?
Which ...
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How to value 3mo SOFR Spreads one year out, 2yr out
How does one value a 3mo spread spread in the far out future from present if fomc meeting schedule is only published for one year, and even with fomc's dot plot, it just shows the median expectation ...
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Is it appropriate to use Term-SOFR curve as spot rate curve in bond pricing for simplicity?
everyone, I am coding for a task of some derivatives pricing, and I am a newbie to the quant. Since the term SOFR data is already available in my company's database, I am wondering if it's appropriate ...
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Combining term structure types in Quantlib
Is it possible to combine multiple term structure types for curve construction in quantlib?
Specifically I want to be able to construct an OIS curve that is stepped in the short end with pillars at ...
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Treasury Futures Roll Hedges
When you trade the US Treasury futures roll, why do you hedge with SOFR futures contracts for TU and FV and why do you hedge the stub (with SER futures weightings)?
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Quantlib: SOFR IRS Fair Rate not the same as inputs
I am making an OIS curve and a SOFR curve with bloomberg quotes
When I valuate a SOFR swap in the same tenors as the SOFR inputs, the FairRates are not the same as the quotes I used to create the ...
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When to use SOFR strip VS Eris interest rate swap, what is the difference?
I am a beginner in financial risk management. learning this as a hobby. Please guide me here.
Here we have 2 examples where one example uses ERIS swap futures and other uses SOFR strip to hedge.
What ...
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Why do people say "SOFR vs OIS discounting" when OIS depends on a rate that could be SOFR?
As I understand it, OIS is not a published rate. SOFR is a published rate.
Based on this published rate, OIS swaps are constructed. The fixed rate on these swaps that makes both legs worth the same is ...
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Precisely how do you delta-hedge a spot-1Y SOFR IRS with SOFR futures?
I'm struggling to construct hedge ratios that delta-hedge a spot-1Y IRS.
Say I'm roughly in the middle of an IMM period, date = Oct 30th 2023 and I trade a 1k dv01 spot-1Y SOFR swap. I'll need some ...
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SOFR Futures and impact on short-end dollar swaps and front-end notes
Suppose there is an exogenous event that triggers SOFR futures to be repriced lower.
For simplicity, lets say the SOFR futures mostly impacted are whites/reds.
Since USD swaps are priced off of the ...
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Sensitivity of SOFR Contracts
I am reading SOFR Futures and Options by Huggins and Schaller . In chapter 2 , they described a portfolio of 3m and 1m sofr contracts as a hedge from FOMC meeting . The accompanying spreadsheet ...
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Model-free convexity adjustment
I have the settlement prices of 3-month SOFR IMM futures and I'm trying to compute the forward curve to replicate FactSet's results, but I have trouble understanding how they do the convexity ...
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Approximating implied price vol from implied yield vol?
I am wondering if there are any approximations that exist to convert yield vol to price vol? I am dealing options on SOFR futures, which can be quoted in yield and price (i.e. 3% put and $97 call are ...
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SOFR futures options margining
If we consider quarterly (or serial, or mid-curve) SOFR options, traded on CME. Are those options subject to margining? It is clear to me that their underlying (say, 3M SOFR futures) is margined as ...
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How to best calibrate a short rate curve using (compounded) SOFR futures & swaps
If one imposes a form $r(t) = \text{...}$ on the cc. short rate, and aims to fit the short end of a SOFR (or another modern RFR) using futures, how would one best go about this within a "curve-...
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Why the biz day convention of OIS Rate helper is hard coded as Modified Following in QL?
I am using QuantLib OIS Rate Helpers, and traced schedule creation back to the following function, and noticed that the business convention is hard coded as MF. Is the biz day convention hard coded ...
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Bootstrapping overnight SOFR rates from futures
I'm struggling with the best way to approach bootstrapping out a SOFR curve using SOFR 1m and 3m futures. Theoretically, unless I'm wrong, there should be a way to price out the expected overnight ...
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Swap IRS - SOFR lookback
I have a fixed-float swap valuation to realize. The floating leg is referenced to SOFR with a 10 days lookback. The first coupon has already started, on 01/09/2023, and ends on 01/12/2023. The first ...
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Building SOFR curve - explanation of the formula used
I am studying a previous post on how to build SOFR discount curve here Libor transition: Building SOFR discount curve
However, I struggle to understand the below ...
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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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Convexity Adjustments Futures - Sensitivity
If the market prices of SOFR futures are obtained from CME, do we still need to compute convexity adjustments when computing the sensitivity of the IR future?
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SOFR futures options
I am trying to take convexity adjustments into account in the bootstrap on the SOFR curve.
I am using cash for the upfront, SOFR swaps from 2Y to the end.
In the mid term I use 2 1M SOFR futures and 7 ...
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Using CME SOFR Futures in practice
I'm looking for numerical examples on how CME SOFR futures contracts are used in practice for hedging purposes. Book references containing this discussion are appreciated.
Bloomberg's FLDS function ...
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What could the cashflows of US0SFR1Z Curncy be?
So this "SOFR vs fixed" swap has a fixed leg paying 5.231% yearly and a floating leg paying yearly the yearly compounded SOFR rate, and has a 1W term. If it has started today, it won't have ...
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Understanding SOFR Fixing Rate Retrieval for Future Dates in QuantLib
I am using QuantLib to calculate the SOFR index for a bond's (ISIN : US025816CL12) cash flows. My objective is to understand how QuantLib computes the SOFR fixing rate for future dates. Here is my ...
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What are the quantitative models for modelling the SOFR rate, the IR products when Libor rates end [duplicate]
Many year ago, I worked on the pricing of IR products (Floating rate swap, CMS swap, Cap, Floor,...)
Libor rates are now replaced by SOFR rate. I would like to know
What are the new IR products (...
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Quantlib SOFR swap repricing across 2 different dates
I am trying to price SOFR swaps in two different dates (the same swaps, just different curves and dates)
This are my initial parameters:
...
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How are SOFR implied vols calculated? Are they normal or log normal?
How are SOFR implied vols calculated? Are they normal or log normal?
When we are pricing options with black-76 model, implied volatility must be log-normal as black model assumes log normal ...
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Difference between 1-month and 3-month SOFR, and the relationship between them
I want to better understand the difference between the 1-month and 3-month SOFR rate, and when to use each for cash flow discounting.
For example - I have a 5 year project, and someone has decided to ...
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SOFR Transition for Future Flow Transactions [duplicate]
I’m looking for some papers/articles for the transition from LIBOR to SOFR for future flow transactions/securitizations (such as Diversified Payment Rights).
Would be happy if you could share some as ...
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Calculate Dv01 of SOFR futures position
may I know how to arrive at $3.8m/DV01 SOFR futures based on the net long 3M SOFR as at 13 Dec. The net long is 23,333.
Original Text: Hedge funds were net buyers in around \$3.8m/DV01 SOFR futures ...
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Does Quantlib FloatingRateBond support SOFR index?
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 ...
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Does the CME Option on 1M SOFR keep trading in the compounding period
I am working with implied vol surfaces for money market options and trying to understand the dynamics of the CME's options on one-month SOFR futures. I want to establish whether trading ceases before ...
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Convexity adjustment doubt
So this the question and the answer to the first one states that only the 5 year swap rate will be adjusted for convexity and the answer to the second one states that neither of the rates will be ...
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Interpreting SOFR OIS Curve from CME
I have a doubt regarding the daily SOFR OIS Curve published by CME.
https://www.cmegroup.com/trading/interest-rates/cleared-otc-sofr-swaps.html#sofroiscurve
If we refer to the curve dated 22 Jul 2022.....
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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 ...
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Payment Delay Convexity Adjustment Formula for RFR Rates
For Libor we have the following Convexity adjustment formula for payment delay (under normal model)
$$CA = P(0,T_e,T_p)\rho\sigma_e^L\sigma_p^L\Delta_e^p(T_s-t_0)$$
where
$T_s$ is the period start ...
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SABR LMM for RFR
Is there a research showing a way to use SABR LMM with new RFRs such as SOFR, i.e. pricing exotic path-dependent RFR derivatives with volatility smile and skew?
I'm aware that
Looking Forward to ...
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Term SOFR rate formula
The following website gives the specifications of the CME Term SOFR reference rates: CME Term SOFR.
Point 1 in the link above specifies that the tenors that are currently supported are 1m, 3m, 6m, and ...
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Pricing caps/floors on backward-looking USD SOFR with forward-looking LIBOR model
The payoff of a cap/floor is calculated as a payoff of constitutient caplets/floorlets.
The SABR volatility model has the implied volatility approximations of Hagan et al.
$$\sigma^f_{IV}\approx \...
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OIS floating-floating cross-currency basis swap
I'm trying to understand whether notional resets on a floating-floating cross-currency basis swap play a role or not when the coupon payments are SOFR-based (with no spread) and they are discounted ...
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What rates does CME use for the SOFR futures settlement prices
I am reading CME Methodology for SOFR Future settlement calculation. The calculation seems to be straight forward but I am confused about the data CME uses for settlement price.
I am assuming it is ...
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SOFR - Notice of Payment
I am reading SOFR USER Guide - https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2019/Users_Guide_to_SOFR.pdf
I am having trouble understanding SOFR payment in arrears, especially lockout ...
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The fate of Eurodollar futures post LIBOR cessation
It's my understanding that 3-month USD LIBOR will continue to set until June 30, 2023. What will happen to CME (3-month) Eurodollar futures after LIBOR is no longer published? Will they use fallback ...
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Replacement for LIBOR Market Model (LMM)?
With the transition from LIBOR to SOFR, will the LIBOR Market Model be replaced by a new model? Perhaps this has already happened. If yes, what is this new model? If not, will the LIBOR Market ...
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