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May 29, 2020 · The ability to model the bank account, in addition to the forward curve, is going to be of crucial importance once Libor rates are replaced with setting-in-arrears rates in derivative and cash ... Curves 1. Overnight-Overnight conventions and nodes. Swap conventions to deal with EFFR-SOFR and EONIA-ESTER transition. Associated template and nodes to calibrate curves. 2. Multiply curve. Curve description as the multiplication of two underlying curves. Used for intra-month seasonal adjustment in overnight-curves. Models 1. Bachelier Formula ... curve. The valuation changes would be a function of the USD discounting risk in each portfolio and the relative levels of the Fed Funds and SOFR forward curves (most clearly expressed in the form of market prices for Fed Funds vs SOFR basis swaps) at the point of conversion. The potential drawbacks with such a basic approach are: i. Oct 16, 2020 · Fast-forward to today, and more than $100 billion in notional volume of SOFR-linked swaps traded in September. Analysts fully credit the impending shift for this development, which they say will create a more liquid swap curve and make SOFR a more formidable alternative to Libor.