3-Month SOFR Curve
Does anyone know of any free sources that contains the 3-Month forward SOFR curve. With LIBOR moving away, I figure some source must start publishing it.
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Chatham
I’ve only seen 1-month, do you have a link for 3?
Haven't heard of 3 month. Just 1 month term.
Your bank will have it just hot up some junior in capital markets
Only one month is used in practice but use Chatham
I don’t think there is a 1-month / 3-month SOFR rate. It's an overnight rate so there is no term component like there is for LIBOR. For SOFR interest is calculated daily using the applicable margin for the relevant period.
yes but there is an interest duration period and corresponding forward curve which is what I think OP is looking for here.
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