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10 votes
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SOFR Discount Curve Construction in Nov 2021

Fixed vs SOFR swaps for longer maturities are very liquid, since the interbank market trades these directly now, and these are the best instruments to construct the long end of the curve (2yr to 50yr)....
dm63's user avatar
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9 votes
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Libor transition: Building SOFR discount curve

OIS Discounting: First note that we already discount using USD OIS rates, but these would be OIS rates constructed from USD OIS Swaps linked to the Effective Federal Funds Rate (EFFR). In other words, ...
Jan Stuller's user avatar
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6 votes
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USD swaps trading post LIBOR: the current state of the world (January 2022)

The Commodity Futures Trading Commission’s Market Risk Advisory Committee (CFT MRAC) went ahead with a 4-phase program in 2021 called "SOFR First": the four phases relate to linear IRS, ...
Jan Stuller's user avatar
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6 votes
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LIBOR replacement in client products and prospective pricing

This question is the subject of much current debate amongst regulators and banks. You are absolutely correct , many banks are alarmed that the demise of Libor will make their asset-liability ...
dm63's user avatar
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4 votes

LIBOR replacement in client products and prospective pricing

Here's my take on this. Firstly, in my experience, banks do not raise financing as a function of Libor, but rather as a function of the local Central Bank policy rate. As an example, the Czech Central ...
Jan Stuller's user avatar
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4 votes
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Is there a difference between JPY TONA and JPY TONAR?

This document from Japanese bank Mitsubishi UFJ states they are one and the same rate, see page 3 $-$ my emphasis: TONAR (Tokyo Overnight Average Rate), the RFR for JPY also called TONA, is a pre-...
Daneel Olivaw's user avatar
2 votes

Risk-free interest rate for option pricing from treasury yield curve rates

Best practice nowadays is to use Fed Funds rates to discount. If you only have Treasury rates , this will be quite close for 0-3 year expirations, since those Treasuries trade quite close to FedFunds....
dm63's user avatar
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2 votes
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Current liquidity of USD OIS-SOFR Swaps

I like this particular blog on rates: https://www.clarusft.com/blog/ Specifically, here is post with some info on SOFR swaps liquidity. There is a section in this post on SOFR volumes by tenor: https:/...
piterbarg's user avatar
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