Creating SOFR index using Quantlib in Python

[QuantUserkpmg]

Hello Everyone,

I am using Quantlib to price and evaluate IRS in Python. I am using real market data and was able to evaluate libor3m, telbor3m and other currencies swaps. when trying to evaluate Swaps using SOFR curves I encountered a problem, I would get wrong NPVs because I couldn't apply the market data in my code. Can anyone help? I will be happy to share my code with you in order to figure this out. It's worth mentioning that I am only able to use built in Quantlib functions in my code and can't use calculations of my own.

Thank You.

 

[Paul Lopez]

Do you get any error messages? This is tough to debug since you can't quite see what's happening under the hood. Could it be a scaling issue with the rates you are bringing in for the SOFR curves?

 

[QuantUserkpmg]

I think so. There isn't any OIS designated objects in quantlib or any SOFR objects (like a structure handle) which do exist for libor for example. I know of the special calculation which are needed for ois and sofr curves, this is why I find this very odd. maybe I am missing something?

Thank you for your reply.