Skip to main content

SOFR Service

oracle/src/services/sofr-service.ts — resolves the SOFR overnight rate (or its compounded index value) for a given date.

INDEX vs raw rate​

SOFR is published two ways:

  • Raw overnight rate — the rate set on a given day (e.g. 5.30%).
  • SOFR Index — a cumulative compounded index value (NY Fed publishes this as the "SOFR Index"). Coupon for [start, end] = Index(end) / Index(start) - 1.

Daml Finance's CompoundedIndex Act360 reference-rate type interprets each Observation as an Index value, not a raw rate. If you publish raw rates and read them as CompoundedIndex, the math is silently wrong — the floating coupons will be ~5% per day instead of per year.

For the SOFR family use Index values. For products that need raw daily rates (e.g. simple-average overnight averages), use a different referenceRateType and publish raw rates.

Demo behaviour​

In demo profile the SOFR service returns synthetic Index values derived from demo.stubCurves.USD.projections.USD-SOFR. Stubbed values are deterministic so tests are reproducible.

Production behaviour​

Set curves.currencies.USD.projection.provider: nyfed. The NYFed fetcher in oracle/src/providers/nyfed/ pulls the official daily SOFR Index publication and writes it to the Curve template via ledger-publisher.