[Quantlib-users] SOFR swaps with different fixed and floating leg frequencies

[Tom A. <tw...@ur...>]

Evening all,

The OvernightIndexedSwap class uses the same schedule for both fixed and 
floating legs:

https://github.com/lballabio/QuantLib/blob/master/ql/instruments/overnightindexedswap.cpp#L77

If you currently have a USD LIBOR swap at CME Clearing, then unless you 
act to avert this, on monday morning, you will find that you have a SOFR 
swap with mostly the same details instead:

https://www.cmegroup.com/trading/interest-rates/files/cme-conversion-for-usd-libor-cleared-swaps.pdf

(see page 22 onwards, and in particular the example on page 25)

The details which are preserved include the payment frequencies on both 
the fixed and floating legs. I haven't been able to determine with any 
confidence whether the day count conventions are also preserved. Oh, and 
there's a spread added to the floating leg.

If the LIBOR swap you have is a vanilla one, it probably has floating leg 
payments every three months, and fixed leg payments every six months. And 
so, on monday, you will have a SOFR swap which, it seems to me, QuantLib 
cannot represent.

Has anyone else spent any time thinking about this? What is the best way 
to represent a swap like this?

tom

-- 
Technology is anything that wasn't around when you were born. -- Alan Kay