Overview
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.
This book title, SOFR Futures and Options, ISBN: 9781119888949, by Doug Huggins, Christian Schaller, Galen Burghardt, published by Wiley (September 27, 2022) is available in hardcover. Our minimum order quantity is 25 copies. All standard bulk book orders ship FREE in the continental USA and delivered in 4-10 business days.
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