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SOFR Futures and Options

By Doug Huggins, Christian Schaller, Galen Burghardt (Foreword by)
Hardcover
$49.95
By Doug Huggins, Christian Schaller, Galen Burghardt (Foreword by)
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SOFR Futures and Options is the practical guide through the maze of the transition from LIBOR. In the first section, it provides an in-depth explanation of the concepts involved:

  • The repo market and the construction of SOFR
  • SOFR-based lending markets and the term rate
  • The secured-unsecured basis
  • SOFR futures and options and their spread contracts
  • Margin and convexity

Applying these insights, the second section offers detailed worked-through examples of hedging loans, swaps, bonds, and floo...

Categories

BusinessProfessional Finance & InvestingDerivativesFutures - Investments