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Creating SOFR index using Quantlib in Python

QuantUserkpmg

Joined
11/28/23
Messages
2
Points
1
Hello Everyone,

I am using Quantlib to price and evaluate IRS in Python. I am using real market data and was able to evaluate libor3m, telbor3m and other currencies swaps. when trying to evaluate Swaps using SOFR curves I encountered a problem, I would get wrong NPVs because I couldn't apply the market data in my code. Can anyone help? I will be happy to share my code with you in order to figure this out. It's worth mentioning that I am only able to use built in Quantlib functions in my code and can't use calculations of my own.

Thank You.
 
I think so. There isn't any OIS designated objects in quantlib or any SOFR objects (like a structure handle) which do exist for libor for example. I know of the special calculation which are needed for ois and sofr curves, this is why I find this very odd. maybe I am missing something?

Thank you for your reply.
 
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