Re: [Quantlib-users] Building SOFR curve

[Mike D. <mik...@gm...>]

Hi there,

I started here to get familiar with everything in the library:

https://leanpub.com/quantlibpythoncookbook/

Note that if you want to make the stairstepped front end of the curve you
will have to do some tricks with zero coupon rate helpers, but it’s not
crazy complicated once you get the ball rolling. There might be a more
efficient way to do it but that would be best answered by someone else that
knows the library better.

Another helpful source for the front end would be this:

https://www.cmegroup.com/market-data/files/cme-term-sofr-reference-rates-benchmark-methodology.pdf

Hope that helps.

-Mike



On Fri, Sep 29, 2023 at 11:35 Brian Smith <bri...@gm...>
wrote:

> Hi,
>
> Appreciate, if someone can provide some insight on below request.
>
> Thanks and regards,
>
> On Thu, 28 Sept 2023 at 01:51, Brian Smith <bri...@gm...>
> wrote:
> >
> > Hi,
> >
> > I am looking for some work-out examples on construction of SOFT curve
> > given various market instruments (mostly OIS) either with Python or
> > C++
> >
> > Could you please point some useful sources on construction of SOFR
> > curve using QL?
> >
> > Many thanks for your time.
>
>
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