SOFR Curve

[suhasghorp]

Thank you for the SOFR curve building paper and the associated code. It helps a student like me a lot. Since this paper was written 2 years ago, a lot has changed in SOFR world I guess. Since Bloomberg publishes SOFR swap rates starting with 1 WK maturity to 50 YR, do we still need to bother with SOFR futures and FOMC meeting dates? The swap rates make building the curve easier, isn't it? Or am I mistaken? Thanks again.

[vilen22]

Hi, I think the granularity and the depth of the futures market still outperforms swap market. However, swap volumes have increased. https://www.clarusft.com/term-sofr-and-bsby-volumes-may-2023/ <https://www.clarusft.com/term-sofr-and-bsby-volumes-may-2023/> Also, I have not done any code work on the term SOFR, which made things a bit more complicated. As for your comment regarding swap-based bootstrapping being easier, I guess, it is true since you don’t need to deal with convexity adjustments. The FOMC meeting dates still need to be considered. Best of luck, Vilen

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On Jun 12, 2023, at 11:11 AM, Suhas Ghorpadkar ***@***.***> wrote: Thank you for the SOFR curve building paper and the associated code. It helps a student like me a lot. Since this paper was written 2 years ago, a lot has changed in SOFR world I guess. Since Bloomberg publishes SOFR swap rates starting with 1 WK maturity to 50 YR, do we still need to bother with SOFR futures and FOMC meeting dates? The swap rates make building the curve easier, isn't it? Or am I mistaken? Thanks again. — Reply to this email directly, view it on GitHub <#1>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/ALHQBUB3QPWPKIBNAPHFUDDXK4WQ3ANCNFSM6AAAAAAZDQ5KDE>. You are receiving this because you are subscribed to this thread.