Re: [Quantlib-users] Zero curve from SOFR futures

[eisuke t. <tan...@gm...>]

Hi all.

As you know, SOFR traded in CME have following market conventions.

- 1 month SOFR futures
"R = arithmetic average of Secured Overnight Financing Rate (SOFR)
during contract delivery month."
https://www.cmegroup.com/trading/interest-rates/stir/one-month-sofr_contract_specifications.html

- 3 month SOFR futures
"R = business-day compounded Secured Overnight Financing Rate (SOFR)
per annum during contract Reference Quarter"
https://www.cmegroup.com/trading/interest-rates/stir/three-month-sofr_contract_specifications.html

QL doesn't have any class to calculate arithmetic averaging SOFR futures.
To take care of this problem, I added some code to following files.
Could you review these?
- ql/experimental/futures/overnightindexfuture.cpp
- ql/experimental/futures/overnightindexfuture.hpp
- ql/experimental/futures/overnightindexfutureratehelper.cpp
- ql/experimental/futures/overnightindexfutureratehelper.hpp
- test-suite/sofrfutures.cpp

However, Termstructure class and InterestRate class haven't had a
function to compute
forward rate by arithmetic averaging yet.
I think this means once yield curve was built, there are no ways to get
forward rate by arithmetic averaging.

Is my idea correct?
If so, would it be better to add arithmetic averaging forward rate
function to these classes?


Eisuke Tani

> Date: Fri, 30 Aug 2019 11:22:43 +0200
> Subject: Re: [Quantlib-users] Zero curve from SOFR futures
> Hello,
>     there are a few classes in ql/experimental/futures that might help with it, and I'd be grateful if people could give them a spin and see how they work and whether they need changes or additional features.  (For instance, looking at the code I see that they price the futures by compounding the daily overnight rates, which is what the 3-months SOFR futures does, but there's no code for taking the average daily rate like the 1-month futures.)
>
> Hope this helps,
>     Luigi
>
>
> On Thu, Aug 8, 2019 at 11:12 AM Patel Mitul <Mit...@uk...> wrote:
>>
>> Hi users,
>>
>>
>>
>> I am trying to use QL to bootstrap two zero curves , one using 1m SOFR futures, the other using 3m SOFR futures.
>>
>>
>>
>> Please could you provide some guidance as to how to do this (in either Quantlib XL or Python) ? I have previously been able to bootstrap IBOR curves (using deposits, futures, swaps) and OIS curves so any pointers from there would be appreciated.
>>
>>
>>
>> Many thanks in advance for your help.
>>
>>
>>
>> Mitul
>>
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