Showing posts with label SOFR. Show all posts
Showing posts with label SOFR. Show all posts

Construction of SOFR Index from SOFR Rates

This post replicates the construction process of the SOFR index from daily SOFR rates. Since this index is published in a daily basis officially, there is no need to make it. But in the process of pricing SOFR swaps and floating rate notes, this sort of calculation is needed.