A SOFR Perspective on Interest Rate Term Structure Modelling
March 19th, 2021 | In Research
Irrespective of recently announced delays, it still seems inevitable that SOFR is becoming the main Risk–Free Rate benchmark in US dollars. Historically, interest rate term structure modelling has been based on rates of substantially longer time to maturity than overnight, but with SOFR the overnight rate now is the primary market observable. In this article for SOFR Academy, Professor Erik Schlögl – Director of the Quantitative Finance…
LATEST INSIGHTS
Research Digest: Proper term rates based on the new RFR...
February 15th, 2021 | Research
The fact that the so-called risk-free rate (RFR) benchmarks – SOFR most prominent…