ENGLISH

SOFR Futures and Options: A Practitioner's Guide

By Christian Schaller , Doug Huggins

Book information

Publisher
Wiley
Year
2022
ISBN
1119888948, 9781119888949
Language
english
Format
EPUB
Filesize
4 MB (4298551 bytes)
Series
Wiley Finance Series
Pages
256\0
Topic
Business
Time added
2022-09-07 21:56:32

Description

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 SOFRSOFR-based lending markets and the term rateThe secured-unsecured basisSOFR futures and options and their spread contractsMargin and convexity Applying these insights, the second section offers detailed worked-through examples of hedging loans, swaps, bonds, and floors with SOFR futures and options, supported by interactive spreadsheets accessible on the web. The gold standard resource for professionals working at financial institutions, SOFR Futures and Options also belongs in the libraries of students of finance and business, as well as those preparing for the Chartered Financial Analyst exam.

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