Questions tagged [sofr]
The Secured Overnight Financing Rate and the transition from Libor to SOFR.
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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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How to Validate and Test a Discount curve (i.e. SOFR, LIBOR, ESTR)
Let's say an Interest Rate/Discount Curve (SOFR, ESTR, LIBOR or any other) is bootstrapped using the standard inputs and market quotes for Cash, Futures, Bonds/Swaps. What are the metrics to be looked ...
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Understanding Spread, SOFR - US Treasury [duplicate]
I am reading about USD LIBOR transition to SOFR (Secured Overnight Financing Rate).
Here, I was reading about key differencies between both rates. I would like to bettter understand relationship ...
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Repricing SOFR Quotes and Non-Zero NPV
I generated/calibrated a SOFR Curve using Quantlib Python and would like to know why when repricing the swaps have non-zero NPVs. Appreciate any assistance. Thank you.
Parameters
...
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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 ...
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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 ...
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US overnight swaps (OIS)
Can you please confirm if the underlying rate of US overnight indexed swaps is SOFR or Fed funds?
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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:
"...
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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....
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Swap Spread Arbitrage & Rates/STIRT Vol
Concerning the classic swap spread arbitrage trade where you (as far as I understand it):
Buy a treasury and borrow in GC repo, paying repo rate and funding the haircut in short term unsecured ...
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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 ...
user40979
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Theoretical fair value of SOFR 1M and 3M Future contracts?
The fair value of Eurodollar future contracts is calculated using the no arbitrage pricing and the spot curve for LIBOR. How does one compute the theoretical fair value of 1M and 3M SOFR Future ...
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how to use SOFR as risk free rate in portfolio construction
Good afternoof to everyone.
I would like to create a portfolio following a multifactorial approach (I have been writing my master's thesis). As I would like to calculate a series of ratios (e.g. ...
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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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Difference between OIS Rate and Risk-Free Rate
What exactly is the difference between the fixed rate of an OIS and the risk-free rate in that currency. For example, in the US the OIS rate vs. risk-free rate SOFR or in the UK the OIS rate vs. the ...
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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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Replacing USD OIS discounting based on FED Funds Rate with SOFR discounting
Slightly related to my other question (The exact mechanics of USD OIS Swaps: replacement of USD Libor by SOFR) but nonetheless, this is a separate topic:
US banks fund themselves via EFFR (Effective ...
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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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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 ...
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How are SOFR futures contract quotes determined?
I am currently conducting a research on SOFR and have a small question.
Suppose I am in June right now and on the CME website I see SOFR Futures quote for the month of September to be 98.6786.
I wish ...
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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 ...
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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 ...
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SOFR Discounting & Price Alignment Transition
CME Group is planning to migrate the discounting to SOFR from Effective Fed Funds Rate (EFFR). Below is the link to their article:
https://www.cmegroup.com/education/articles-and-reports/sofr-price-...
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SOFR term structure
Recently I have been going through a lot of documents for SOFR (Secured Overnight Financing Rate) as there is a SOFR implementation in my organization. I am not able to understand how SOFR term ...
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Libor to SOFR transition Yield Curve Construction
With the imminent transition from LIBOR to SOFR next year, what are the data points practitioners are using to construct a yield curve? Also, since LIBOR implicitly took into account credit risk of ...
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Face Value of SOFR futures
What is the face value of CME 1M and 3M SOFR future contracts? The face value of CME 3M Eurodollar Futures is 1 million.