SOFR vs FF Basis Swaps - Convexity?
Posted: 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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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