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Welcome to the FIS Treasury and Risk Manager - Quantum Edition Aha! Ideas Portal.

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Status Shipped
Categories Strategic
Created by Mark Zumbraegel
Created on Mar 8, 2020

SOFR CME 3 Month futures support

Qt currently doesn't support 3M CME SOFR Futures, you can't create a futures final trading day rule that lines up the final trading date and settlement date on the contract, as currently Qt assumes these are done in Advance. These are required in order to use them in creating a zero coupon SOFR curve

Work in
QNTM-E-2405 SOFR CME 3 Month futures support
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  • Admin
    Mark Zumbraegel
    Reply
    |
    May 3, 2021

    Currently, priority has dropped, even Bloomberg are not using this when they construct their ZC, they use just Cash and Swap curves