SOFR Futures and Options
A Practitioner's Guide
Failed to add items
Add to basket failed.
Add to wishlist failed.
Remove from wishlist failed.
Adding to library failed
Follow podcast failed
Unfollow podcast failed
Get 30 days of Premium Plus free
Buy Now for £12.99
-
Narrated by:
-
Kent Klineman
About this listen
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; and 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.
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.
©2022 Doug Huggins and Christian Schaller (P)2022 Ascent Audio