Questions tagged [sofr]
The Secured Overnight Financing Rate and the transition from Libor to SOFR.
26
questions with no upvoted or accepted answers
5
votes
0
answers
83
views
SOFR transition impact on numerical efficiency
As the SOFR transition kick in, the libor insturments and derivatives link to SOFR which poses natural challenge for numerical methods such as lattice, monte carlo and finite difference, where people ...
- 91
4
votes
0
answers
281
views
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 ...
- 41
3
votes
0
answers
282
views
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 ...
- 764
3
votes
0
answers
290
views
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 ...
- 1,012
3
votes
0
answers
191
views
Libor transition to SOFR - swaps after 2021
Assuming that Libor will fully transition to SOFR by the end of 2021. How are swap rates after 2021 currently priced to reflect this? For example, if I am looking at 5 year US swap rate, doesn't this ...
- 81
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 ...
- 1,223
2
votes
0
answers
169
views
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 ...
- 409
2
votes
0
answers
658
views
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 ...
- 409
2
votes
0
answers
148
views
Which SOFR rate to use and when?
When looking at the actual daily values provided by the SOFR API it's a bit confusing when/where to use which values given they provide two sets of values with different dates, SOFR on a T-1 basis and ...
- 2,081
1
vote
0
answers
63
views
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 ...
- 111
1
vote
0
answers
484
views
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 ...
- 11
1
vote
0
answers
262
views
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 ...
- 53
1
vote
0
answers
423
views
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.....
- 33
1
vote
0
answers
138
views
Estimation of RFR payoffs of flavor Look-back with NO observation period shifts
With the new RFR swaps (Say $IRS Fixed to compounded SOFR), there are several adjustments that can be done to allow some room for the coupon on the floating leg to be known a couple of days ahead of ...
- 57
1
vote
0
answers
725
views
SOFR - calculation of the volume-weighted median and percentile
Federal Reserve Bank of New York web page provides some information on the computation of the SOFR rate.
Part 1
According to this webpage, the SOFR is calculated as the volume-weighted median:
"...
- 83
0
votes
0
answers
71
views
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 ...
0
votes
0
answers
42
views
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-...
0
votes
0
answers
57
views
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 ...
- 1
0
votes
0
answers
52
views
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 ...
- 1
0
votes
0
answers
108
views
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 ...
- 373
0
votes
0
answers
84
views
How to hedge 3 Month SOFR futures with 1 Month SOFR futures considering FOMC meeting
Has anyone considered trading SR3 vs SR1 SOFR futures? They both have the same underlying basis of daily SOFR, and how would one calculate a hedge ratio for the SR1 to trade along SR3?
Looking at the ...
- 1
0
votes
0
answers
15
views
Comparison shorted dated tbills and determine which asset class is best return
i was wondering how to create a comparison table across various time horizons for given currencies and see the return/spread over SOFR.
Any Bloomberg links/functions i could use?
Ideally i would like ...
- 1
0
votes
1
answer
151
views
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?
- 316
0
votes
0
answers
174
views
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 ...
0
votes
0
answers
165
views
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 ...
- 11
0
votes
0
answers
118
views
Estimating SOFR daily rate from a given curve
Goodday. May i know how can i estimate those fixing rate in the yellow cell, with the curve given on the left?
Would my step below work
1.perform linear interpolation to find the rate e.g. the fixing ...
