▲ 24 r/quant
Does swapping the LIBOR rate with the SOFR rate really change anything for models?
I'm reading Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond by Riccardo Rebonato which came out in 2004 but SOFR has replaced LIBOR since 2023, but there's loads of old useful books that use LIBOR rate pricing certain assets. If I swapped LIBOR with SOFR, does that really change anything?
Edit: I'm new to this stuff
u/zneeszy — 3 days ago