Open lucamichelacci opened 1 year ago
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?
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?