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SOFR USD OIS curve #90

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lucamichelacci opened this issue Feb 26, 2023 · 0 comments
Open

SOFR USD OIS curve #90

lucamichelacci opened this issue Feb 26, 2023 · 0 comments

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@lucamichelacci
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I am currently having issues in matching BBG discount OIS curve using the same SOFR swaps used in the icvs function. I suspect this is due to the different compounding of libor an sofr. Is there any workaround to this issue?
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@lucamichelacci