Indicative Forward-Looking SOFR Term Rates

Erik Heitfield and Yang-Ho Park
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Erik Heitfield: https://www.federalreserve.gov/econres/erik-a-heitfield.htm
Yang-Ho Park: https://www.federalreserve.gov/econres/yang-ho-park.htm

No 2019-04-19-1, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: This note presents indicative forward-looking term rates derived from end-of-day SOFR futures prices. The accompanying data file also includes compound averages of daily SOFR rates.

Date: 2019-04-19
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:2019-04-19-1

DOI: 10.17016/2380-7172.2347

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