BTRM Working Paper Series, #15
SOFR Overnight Index Swap Curve Construction, December 2020
We are very excited about this article written by Ioannis Rigopoulos from Deriscope, which will be of interest to any market practitioner involved in transitioning from USD Libor to Secured Overnight Financing Rate (SOFR) and using SOFR-linked interest rate swaps for hedging.
In a paper notable for its accessibility and instant applicability, the author presents a step-by-step guide to constructing the SOFR OIS yield curve, with some very handy Excel inputs and outputs exhibits shown as well. There is also useful discussion of the practical issues associated with constructing a continuous discount function, and the author solves these issues neatly.
For those requiring a refresher on the SOFR rate and its calculation there is detail on that too. Very highly recommended.
In a paper notable for its accessibility and instant applicability, the author presents a step-by-step guide to constructing the SOFR OIS yield curve, with some very handy Excel inputs and outputs exhibits shown as well. There is also useful discussion of the practical issues associated with constructing a continuous discount function, and the author solves these issues neatly.
For those requiring a refresher on the SOFR rate and its calculation there is detail on that too. Very highly recommended.
by Ioannis Rigopoulos
Click BTRM WP15_SOFR OIS Curve Construction_Dec 2020.pdf link to view the file.