SOFR Curve Enhancement | Weekly Release 7/24/20

Added ability for traders to toggle between OIS or SOFR as the discounting curve

SOFR Discounting Curve

Given the Market moving away from the OIS curve and towards using the SOFR curve, there is an option added to use the SOFR as the discount curve on the Libor. The SOFR curve is available under the “USD” tab under “Curves” for reference.

Selecting the SOFR Curve as the default discounting curve for USD

To set the SOFR discounting on the Libor Curve, click on “Preference” – “Discount Method” – “SOFR Discounting”. After this method is selected, remember to click on “Save Config” to keep the change.

Change in RVFI

All the ASW and OIS Spreads will be recalculated using the SOFR discounting curve.