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
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);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).conventionis{ 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.
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.
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.
Built by Moshe Malka — engineering leader in New York City. Studio work at Quentin.Code.
MIT © Moshe Malka