Estimation of RFR payoffs of flavor Look-back with NO observation period shifts

External question — Quantitative Finance Stack Exchange Author: benjbe Original post: https://quant.stackexchange.com/questions/69364 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. With the new RFR swaps (Say $IRS Fixed to compounded SOFR), there are several adjustments that can be done to allow some room for the coupon on the floating leg to be known a couple of days ahead of its payment date (I guess to allow some time for settlement validation/reconciliation): Interdeal broker: Shift the payment date from the calculation date by +2BD Lookback WITHOUT observation period shift: Meaning each daily fixing date is shifted by say -2bd but the weights (observation periods day counts) remains the same Observation period shift: All the observation period is shifted from the calculation period. ... For 1 and 3, and for performance reason (whether pricing a trade or bootstrapping a curve), one could estimate the cash flows by a ratio of the cap factor at the end of the period / start of it. Is there a similar approach for lookback WITHOUT observation period shifts? Hope my question is clear. Thank