google / google/tf-quant-finance
SOFR USD OIS curve
Open
- Dominant language
- Python
- Stars
- 5.5k
- Forks
- 698
- PR merge metrics
- No merged PRs in 30d
Description
I am currently having issues in matching BBG discount OIS curve using the same SOFR swaps used in the icvs function. I suspect this is due to the different compounding of libor an sofr. Is there any workaround to this issue?
Contributor guide
Assessment
This issue has not been assessed yet.