• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

Estimating SOFR daily rate from a given curve

Dear All

Goodday. May i know how can i estimate those fixing rate in the yellow cell, with the curve given on the left?


Would my step below work

1.perform linear interpolation to find the rate e.g. the fixing rate on fixing date of 29/7/2021 would be somewhere between 0.03 to 0.04 due to linear interpolation

2. then just divide by 360 to get the daily rate

Do i need to convert from forward rate to spot rate?

Thank you all


  • 1628597744297.png
    68.1 KB · Views: 56
Last edited: