The Secured Overnight Funding Rate (SOFR) has become the risk‐free rate benchmark in US dollars, thus term structure models should reflect key features exhibited by SOFR and forward rates implied by SOFR futures. We construct a multifactor, stochastic volatility term structure model which incorporates these features. Calibrating to options on SOFR futures, we achieve a reasonable fit to the market across maturities and strikes in a single model. This also provides novel insights into SOFR term rate behavior (and implied volatilities) within their accrual periods, and a model mechanism by which interest rate mean reversion arises from monetary policy.

中文翻译：

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SOFR 期限结构动态——不连续短期利率和随机波动远期利率

有担保隔夜融资利率（SOFR）已成为美元的无风险利率基准，因此期限结构模型应反映 SOFR 所表现出的主要特征以及 SOFR 期货隐含的远期利率。我们构建了一个包含这些特征的多因素、随机波动率期限结构模型。通过对 SOFR 期货期权进行校准，我们在单一模型中实现了跨到期日和行使价的市场合理拟合。这也为应计期内 SOFR 期限利率行为（和隐含波动率）提供了新颖的见解，并提供了货币政策产生利率均值回归的模型机制。