How to calculate historical Forward Rates for SOFR with RDP in Python?

Currently the client is using AdRateConv on EIKON Excel, however, this formula is not supported on Workspace. The client requests replacement either WS Excel or Python. Could you kindly suport it?

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Accepted answers

jonathan.legrand

Hi @mika.kosaka01 ,

We have created a page for such upgrade information here. These Forward Rate calculations have been moved to IPA, for which you can find informatino here. I happen to have started writing an article on this kind of workflow, you can find it (unfinished at the moment) here.
Do let us know if this is enough information to go off from, else do not hesitate to revert as a comment to this answer.

All comments

jonathan.legrand

Hi @mika.kosaka01 ,

mika.kosaka01

Hi Jonathan,

Thank you for this information. We will discuss with the client regarding IPA and will come back to you if we need more information.

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