English | 2022 | ISBN: 1119888948 | 253 pages | True PDF | 8.84 MB
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.
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