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  3. suppose the sofr rate ri=r=1% is constant each day

Suppose the SOFR rate ri=r=1% is constant each day. (i) Write the SOFR index on...

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Accounting

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Suppose the SOFR rate ri=r=1% is constant each day. (i) Write the SOFR index on day n assuming that it is normalized to 1 on day 1. (In practice it starts at 1 on 2 Apr 2018.) Recall that it com- pounds each day as a bank account accruing interest at the SOFR rate at the beginning of the day SOFRIndex; = (1+360) SOFRIndex;-1 We ignore here for simplicity weekends and holidays. (ii) The SOFR Average rates (SAFR rates) will be constant each day under this approximation. Compute the 30-day SOFR Average in terms of r (the SOFR rate). (iii) Compute also the 90-day and 180-day SOFR averages. Suppose the SOFR rate ri=r=1% is constant each day. (i) Write the SOFR index on day n assuming that it is normalized to 1 on day 1. (In practice it starts at 1 on 2 Apr 2018.) Recall that it com- pounds each day as a bank account accruing interest at the SOFR rate at the beginning of the day SOFRIndex; = (1+360) SOFRIndex;-1 We ignore here for simplicity weekends and holidays. (ii) The SOFR Average rates (SAFR rates) will be constant each day under this approximation. Compute the 30-day SOFR Average in terms of r (the SOFR rate). (iii) Compute also the 90-day and 180-day SOFR averages

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