[Quantlib-users] USD Swap curve with SOFR futures

[Philippe H. <phi...@ex...>]

Is there an existing model to build a swap curve with SOFR futures instead
of Eurodollar futures? Is the convexity adjustment futures vs forward a
similar approach? I believe the daily compounding nature of the SOFR
contract may complicate the approach a bit.

Philippe Hatstadt

-- 








Broker-Dealer services offered through Exos Securities LLC, member 
of SIPC <http://www.sipc.org/> / FINRA <http://www.finra.org/> / 
BrokerCheck  <https://brokercheck.finra.org/>/ 2020 Exos, inc.  For 
important disclosures, click here 
<https://www.exosfinancial.com/general-disclosures>.