Re: [Quantlib-users] Eris SOFR Swap Futures

[ze73 m. <ze7...@ya...>]

 Yes, understood, thanks a lot, Mike. I am trying to evaluate what is possible using only futures data since that is a lot cheaper to license than swap data. In my context, the basis you mentioned might be acceptable if it is well understood and then I could also look for ways to account for it as you wrote. I could not find an example of directly using swap futures in quantlib but wondered if anyone had done this. Otherwise, I'd first back swap rates from the futures and then use the swap helper.
    On Monday, October 30, 2023 at 09:59:16 AM EDT, Mike DelMedico <mik...@gm...> wrote:  
 
 Keep in mind this is a CME curve you are going to build not LCH (where the majority of risk is transferred). So depending on your desired need of accuracy for whatever you are trying to value off the resulting curve, you need to account for that basis as well as the limited liquidity in one venue vs the other.  Take a look at the OI and daily volumes of one vs the other?

On Mon, Oct 30, 2023 at 08:30 ze73 man via QuantLib-users <qua...@li...> wrote:

 Thanks so much for shring your thoughts, Tom and Peter!

I mean to directly build the curve from the Eris futures market prices (available from IB for example) and from the instrument spec on the Eris web site. The data in their FTP server is indeed great for validation but we don't have a license for it. My understanding was also that we would need a new rate helper for OIS Swap Futures and I was wondering if anyone would kindly share any experience modeling swap futures in quantlib, please?
 
    On Monday, October 30, 2023 at 04:02:59 AM EDT, Peter Caspers <pca...@gm...> wrote:  
 
 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.
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