CME converted your Eurodollars. This is what happened next.
This is an interesting journey through the data for those of you interested in what happened following CME’s conversion to SOFR for Eurodollar contracts (April 14th 2023) and the first USD conversion of LIBOR swaps at CME to SOFR (April 21st 2023). Eurodollars The once mighty Eurodollar contract is no more. (If you didn’t already […]
Fast Valuation of Seasoned OIS Swaps
OIS swaps have coupons determined by compounded daily interest rates settled every few months. The valuation of future coupons is computationally similar to the valuation of a LIBOR payment, in that the valuation involves the ratio of two discount factors associated with the start and end of the accrual period. A problem can arise on […]