compounded-sofr

SOFR compounding-in-arrears math — the ARRC & ISDA conventions (lookback, observation shift, lockout), the SOFR Index method, the compounded average, and daily-simple accrual. Zero dependencies.

npm install compounded-sofr

Why

SOFR replaced LIBOR, and unlike LIBOR it is an overnight rate — so a three-month SOFR coupon is a compounded average of daily rates set in arrears, with a small zoo of conventions (how many business days to look back, whether to shift the observation window, whether to lock out the final days). The New York Fed publishes a SOFR Index and 30/90/180-day averages built on exactly this math, and npm had no library that implements it. This one does — and reproduces those published numbers.

import { compoundedSofr, averageFromIndex, indexFromRates } from "compounded-sofr";

// observations: one { date, rate } per business day (rate in %), e.g. from the
// `newyorkfed` package. A Friday's rate carries its weekend weight automatically.
compoundedSofr({ observations, start: "2026-06-09", end: "2026-07-09" });
// 3.63409 — matches the NY Fed's published 30-day SOFR average for 2026-07-09

// The exact, path-independent method straight from the published SOFR Index
// (index on 2026-06-09 and 2026-07-09, 30 calendar days apart):
averageFromIndex(1.24646364, 1.25023844, 30); // 3.63409 — the same 30-day average

// Reconstruct the SOFR Index by compounding the daily series (seeded 1.0 on 2018-04-02):
indexFromRates(observations, 1.0);

API

Rates are percents (3.53 = 3.53%), matching the NY Fed API. Observations are { date: "YYYY-MM-DD", rate }, one per business day.

• compoundedSofr({ observations, start, end, convention? }) — compounded-in-arrears rate for the interest period [start, end). convention is { type: "plain" } (default), { type: "lookback", businessDays }, { type: "observationShift", businessDays }, or { type: "lockout", businessDays }.
• averageFromIndex(startIndex, endIndex, days) — compounded average between two SOFR Index values: (end/start − 1) × 360/days.
• indexFromRates(observations, startIndex?) — compound a daily series forward into an index value.
• compoundInArrears(periods) / dailySimpleAverage(periods) — the underlying primitives over { rate, days }[].
• weightedRates(params) — the per-day { rate, days } schedule a convention produces (inspect or reuse it).
• accruedInterest(notional, params) — notional × rate/100 × totalDays/360.
• withSpreadAdjustment(rate, spreadBps) — add an ISDA fallback spread.

The 360-day basis, the calendar-day weighting (weekends fold into the preceding business day), and in-arrears compounding all follow the ARRC conventions.

Correctness

Every path is validated against the NY Fed's own published series: the averageFromIndex method reproduces the published 30/90/180-day averages across a year of data, and indexFromRates reconstructs the published SOFR Index to ~1e-8. Plain compoundedSofr and the index method agree to floating-point precision.

Related

Pairs with newyorkfed (fetch the daily SOFR and index). Part of a fixed-income toolkit: treasurydirect · tbill · tips-index-ratio · day-count · accrued-interest · 32nds · sifma-holidays · instrument-identifiers.

Author

Built by Moshe Malka — engineering leader in New York City. Studio work at Quentin.Code.

MIT © Moshe Malka