New answers tagged


The front end of the SOFR curve has a lot of structure in it. I cant talk to "market convention" as I doubt something like that exists yet but I use Fixed for floating SOFR swaps (1w, 2w, 3w, 1m, 2m, 3m etc) FOMC dated fixed for floating swaps (next 4 FOMC dates) On the run (so not yet fixing) SOFR futures in the white and red period to build the ...

Top 50 recent answers are included