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From: Tom A. <tw...@ur...> - 2023-04-18 18:41:24
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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 |