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patelk23
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Posts: 2
Joined: April 14th, 2020, 4:47 pm

SOFR vs FF Basis Swaps - Convexity?

May 7th, 2020, 11:31 am

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
 
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doublebarrier2000
Posts: 237
Joined: July 14th, 2002, 3:00 am

Re: SOFR vs FF Basis Swaps - Convexity?

May 9th, 2020, 3:38 am

SOFR wilĺ use daily compounded rates and, without a spread, they do not need convexity whereas daiily averaging rates certainly do; like traditional FF swaps
 
patelk23
Topic Author
Posts: 2
Joined: April 14th, 2020, 4:47 pm

Re: SOFR vs FF Basis Swaps - Convexity?

May 20th, 2020, 9:36 pm

SOFR wilĺ use daily compounded rates and, without a spread, they do not need convexity whereas daiily averaging rates certainly do;  like traditional FF swaps
Thank you