| tradeDate | ivl | calendar | convention | effectiveDate | |
|---|---|---|---|---|---|
| 0 | 2022-01-01 | 2D | UnitedStates | Following | 2022-01-04 |
| 1 | 2022-04-13 | 2D | UnitedStates | Following | 2022-04-15 |
| 2 | 2022-04-14 | 2D | UnitedStates | Following | 2022-04-18 |
| 3 | 2022-01-01 | 2D | USNYGov | Following | 2022-01-04 |
| 4 | 2022-04-13 | 2D | USNYGov | Following | 2022-04-18 |
| 5 | 2022-04-14 | 2D | USNYGov | Following | 2022-04-19 |
Effective dates of SOFR Overnight Index Swaps
Overview
This page illustrates using our typical convention by which the first date of the swap period of an SOFR (Secured Overnight Index Rate) Overnight Index Swap (OIS) is set from a given trade date. The calculations are made using our data-oriented cloud-ready wrappings in this case of QuantLib code.
The convention
The convention is described in this ISDA Note. The convention is that the effective date is two business (in both New York and US Government Bond Market) days after the trade date. Note that there is a difference between New York and Goverment holidays and so correct calculation requires considering the joint calendar.
Example Calculation
In the example below tradeDate, ivl, calendar and convention are input columns while effectiveDate is computed using the advanceBusiness table function.
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