Re: [Quantlib-users] USD Swap curve with SOFR futures

[Luigi B. <lui...@gm...>]

Hello,
    the SofrFutureRateHelper class should work.

Luigi


On Sat, Dec 12, 2020 at 8:27 PM Philippe Hatstadt <
phi...@ex...> wrote:

> 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
>
>
>
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> disclosures, click here
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