Re: [Quantlib-users] Eris SOFR Swap Futures

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

On Sun, 29 Oct 2023, Peter Caspers wrote:

> Hi Ze, one approach could be to convert the futures price to the 
> equivalent par swap rate as described in the primer. Provided that you 
> have access to the necessary additional data?

The necessary details (accrued PAI) are openly available here:

https://www.erisfutures.com/sofrdata

But a problem will be that the price of an Eris future corresponds to the 
net value of the underlying swap on the expiry date of the future, not 
today, because it settles daily like all futures. To turn that into a swap 
rate you can use for building a curve, you would need to discount that to 
today. And to do that, you need a curve!

Oh, or at least, you need a rate from now to the front IMM date. And you 
can get that directly from the SOFR future which is currently in accrual, 
so maybe this isn't so bad.

Personally, i am a bit skeptical that there is enough liquidity in the 
Eris markets to give good pricing information, but it's worth a shot.

tom

-- 
Vegetables, rice and peas.