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I try to keep your enumerated structure yet address the points you edited into the question: (i) I only know of USD OIS referencing the EFFR and the SOFR (ii) My perception is that EFFR als float leg reference is far more liquid at the moment (compare the traded volumes, e.g. https://apps.newyorkfed.org/markets/autorates/fed%20funds vs. https://www.cmegroup....


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(Edit 23.11.2020) [Note that my previous derivations were too hasty and had some issues, I will try to amend when time allows. In any case, note that those results were merely model-free: SOFR Futures have convexity adjustments and in practice you will need to specify a model for the forward rates to actually calculate them. Feel free to unmark as "...


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Not sure if this will entirely answer your question, but the key concept here is that the Futures contracts are not priced via some theoretical model, but their price is entirely driven by supply and demand. In turn, the supply and demand reflect the market's expectation about future Libors (or SOFR, in case the underlying is SOFR). Let's say that "...


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From Pricing and Hedging Swaps by Paul Miron and Philip Swannell: Here I will take the input rates: $r_{1y}$, $r_{2y}$, $r_{3y}$ and create the DF values for each tenor $df_{1y}$, $df_{2y}$, $df_{3y}$, and thus create the zero coupon swap curve rates $z_{1y}$, $z_{2y}$, $z_{3y}$. The book demonstrates how this formula represents both the fixed and floating ...


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I think a little clarity is needed here. A swap means exchanging A for B. Swaps trade on anything and everything. You can trade IOS/BBA Muni swaps, you can trade a swap linked to the gold forward levels versus Euribor 9 month fixings. Whatever you want. You have a mistake above. OIS swaps are not OIS vs Libor. Generally, when someone trades an ...


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Firstly, note that this is a detail which changed in 2018. The BenchMark Regulations (applied from the EU reg) require that benchmarks are based on actual transactions, so Sonia changed from being a term rate for overnight published today for tonight, to being an in-arrears rate published tomorrow for tonight. The rate for some date (the index for that day) ...


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iii) The OpenGamma piece on IRS market conventions might help. https://quant.opengamma.io/Interest-Rate-Instruments-and-Market-Conventions.pdf [EDIT or USSO2 BGN Curncy DES, for e.g., which provides details on the conventions for each leg] iv) Yes, SOFR/FF basis swaps trade OTC. Or you can trade SOFR futures vs. Fed Funds futures.


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