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.

Tentative Topics (Keeping Track to Avoid Forgetting)

Segmented Nelson-Siegel model
Shifting Endpoints Nelson-Siegel model
Nadaraya-Watson estimator
Locally weighted scatterplot smoothing (LOWESS)
Time-Varying Parameter Vector Autoregressions (TVP-VAR)
Time-varying or Dynamic Copula
Bayesian VAR
Adrian-Crump-Moench (ACM) term premium model
GARCH-EVT-Copula approach