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Persistent link: https://www.econbiz.de/10011734332
In this note we propose a simple two-factor multi-curve model where Fed-fund, SOFR and LIBOR rates are modeled jointly. The model is used to price the newly quoted SOFR futures as well as Eurodollar futures. We then derive pricing formulas for SOFR-based swaps, and show how the valuations of...
Persistent link: https://www.econbiz.de/10012913464