[Quantlib-users] Bootstrapping after Ibor Transition

[kmylonakis <kmy...@pr...>]

Hello everyone,

I have a question regarding Bootstrapping after the Ibor transition. It is not directly linked to Quantlib ussage per se , but I give it a try since according to the terms of the mailing list "Topics about quantitative finance in general are also accepted". Feel free to let me know if this is out of order :)

According to our data vendor, the EUR swaps delivered to us are still based on Euribor since EMMI is still maintaining the index (probably indefinetely), while the USD swaps are already assuming the fallback rates (i.e. SOFR + spread).

Does that mean that we can already bootstrap USD in a single-curve framework as in reality only SOFR now is relevant? Also the basis spread will only be dictated by the compounding and predefined spread for each fallback case?

Is there a paper that discuss the above topic?

Thank you very much in advance,

Kostas