Estimating SOFR daily rate from a given curve

Joined
8/10/21
Messages
1
Points
11
Dear All

Goodday. May i know how can i estimate those fixing rate in the yellow cell, with the curve given on the left?

1628855409428.webp


Would my step below work

1.perform linear interpolation to find the rate e.g. the fixing rate on fixing date of 29/7/2021 would be somewhere between 0.03 to 0.04 due to linear interpolation

2. then just divide by 360 to get the daily rate


Do i need to convert from forward rate to spot rate?

Thank you all
 

Attachments

  • 1628597744297.webp
    1628597744297.webp
    65 KB · Views: 64
Last edited:
Back
Top