The SOFR Discount

The replication package contains code and pseudo data to reproduce the analysis in the paper "The SOFR discount". The package contains a readme file describing the code and functions. In this paper, we look at the pricing of floating rate notes (FRNs) with different benchmark rates, Libor and SOFR respectively. After adjusting for the market pricing of the spread between these two benchmarks, we find that FRNs issued with SOFR as benchmark is cheaper for the issuer than issuing notes with Libor as benchmark rate.本复现包包含用于复现论文《The SOFR discount》中各项分析的代码与模拟数据。本包附带一份README说明文档，对其中的代码与函数进行详细介绍。本文研究了分别以Libor与SOFR为基准利率的浮动利率票据（Floating Rate Notes, FRNs）的定价问题。在对两类基准利率间的利差的市场定价进行调整后，我们发现：以SOFR为基准利率发行的浮动利率票据，其发行方的融资成本低于以Libor为基准利率发行的同类票据。