Re: [Quantlib-users] Eris SOFR Swap Futures

[Peter C. <pca...@gm...>]

Well, I meant to use their PV01. But their ftp data has everything you
need anyhow

http://files.erisfutures.com/ftp/Eris_20230703_EOD_ParCouponCurve_SOFR.csv

Even daily discount factors which is arguably the safest way to
replicate their curve precisely

http://files.erisfutures.com/ftp/Eris_20230703_EOD_DiscountFactors_SOFR.csv

To directly build the curve from the futures prices and the PAI we
would need a new rate helper.

On Sun, 29 Oct 2023 at 19:38, Tom Anderson <tw...@ur...> wrote:
>
> 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.