Skip to content
Projects / Phase 4.3 · JD to Projects

Swap Curves, Evaluated Pricing and Automated Quoting from Public Swap Trades

Which public swap prints to trust, what marks to publish with what grade, and how to auto-quote.

Open the projectSee all projects

Headline result

A 15:00 ET SOFR curve, graded marks and an RFQ quoter built from DTCC’s public swap tape. The close reprices next-half-hour prints to 0.35 bp in liquid tenors, and grade C marks fall outside ±1 bp 8.2 times as often as grade A. The auto-quoter lost USD 416m on 112,028 replayed RFQs.

Figures

  • Share of prints off the 10-minute consensus by DTCC category, and the blind price filter’s removal trade-off.
    Spreadover legs are the cleanest inputs; in evaluation the blind filter removed 90.6% of off-market prints and only 0.22% of genuine ones.
  • Median post-close repricing error by tenor, and leave-one-pillar-out error for two interpolation methods.
    The close reprices genuine prints to a median 0.35 bp in liquid tenors; monotone convex wins short tenors, the spline from 12 years.
  • Challenge out-of-band rate by mark grade in development and evaluation, and monthly share of marks by grade.
    Grade C marks fell outside the ±1 bp band 70.7% of the time against 8.6% for grade A: 8.2 times as often.
  • Quoter net P&L per DV01 against hit ratio in development, and cumulative net P&L in evaluation.
    Every quote width loses 0.5 to 0.7 bp per DV01; in evaluation the quoter lost USD 416m on 112,028 replayed RFQs.

Data used

  • DTCC public swap tape: 1.94m new SOFR fixed-float trades, Oct 2024 to Oct 2026
  • NY Fed SOFR, EFFR and OBFR fixings, Jan 2023 to Oct 2026
  • US Treasury daily par yields, Jan 2024 to Oct 2026, and Bloomberg SEF closes (521 days)

Built from Rates Desk Quant job descriptions

The role asks for

  • SOFR curve building
  • Rates derivatives pricing and marking
  • Answering price challenges with evidence
  • Risk and P&L explain
  • Python and C++
  • Automated RFQ quoting

This project uses

  • Monotone-convex SOFR curve bootstrap
  • Off-market print filtering
  • Closing-price design from trades
  • Mark grading and challenge loop
  • Pillar DV01 P&L explain
  • RFQ auto-quoter simulation

Members open the full write-up, notebook, tested code and data in the project reader.