Thank youSOFR wilĺ use daily compounded rates and, without a spread, they do not need convexity whereas daiily averaging rates certainly do; like traditional FF swaps
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- May 20th, 2020, 9:36 pm
- Forum: Trading Forum
- Topic: SOFR vs FF Basis Swaps - Convexity?
- Replies: 2
- Views: 7214
Re: SOFR vs FF Basis Swaps - Convexity?
- May 7th, 2020, 11:31 am
- Forum: Trading Forum
- Topic: SOFR vs FF Basis Swaps - Convexity?
- Replies: 2
- Views: 7214
SOFR vs FF Basis Swaps - Convexity?
Hello, What sort of convexity would there be for SOFR vs FF basis swaps?Will it be same as daily vs compounded correction on both legs? Thank you