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 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.
- ISBN10 1119888948
- ISBN13 9781119888949
- Publish Date 15 September 2022 (first published 31 August 2022)
- Publish Status Active
- Publish Country US
- Imprint John Wiley & Sons Inc
- Format Hardcover
- Pages 256
- Language English