SOFR Futures and Options
A Practitioner's Guide
1st Edition
Published on 8. November 2022
Book
Hardback
240 pages
978-1-119-88894-9 (ISBN)
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 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.
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.
More details
Series
Language
English
Place of publication
New York
United States
Target group
Professional and scholarly
Dimensions
Height: 162 mm
Width: 235 mm
Thickness: 21 mm
Weight
568 gr
ISBN-13
978-1-119-88894-9 (9781119888949)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Doug Huggins | Christian Schaller
SOFR Futures and Options
E-Book
08/2022
1st Edition
Wiley
€32.99
Available for download
Doug Huggins | Christian Schaller
SOFR Futures and Options
E-Book
08/2022
1st Edition
Wiley
€32.99
Available for download
Persons
Content
FOREWORD BY GALEN BURGHARDT
Introduction
SECTION 1: Concepts
Chapter 1: SOFR
Chapter 2: SOFR Futures
Chapter 3: SOFR lending markets and the term rate
Chapter 4: SOFR spread futures and the basis
Chapter 5: Options
Chapter 6: Price Biases and SOFR Curve Building
SECTION 2: Use cases
Chapter 7: Basic hedges with SOFR futures
Chapter 8: Hedging the SOFR Term Rate
Chapter 9: Hedging swaps and bonds with SOFR futures
Chapter 10: Hedging caps and floors with SOFR future options
Bibliography
Introduction
SECTION 1: Concepts
Chapter 1: SOFR
Chapter 2: SOFR Futures
Chapter 3: SOFR lending markets and the term rate
Chapter 4: SOFR spread futures and the basis
Chapter 5: Options
Chapter 6: Price Biases and SOFR Curve Building
SECTION 2: Use cases
Chapter 7: Basic hedges with SOFR futures
Chapter 8: Hedging the SOFR Term Rate
Chapter 9: Hedging swaps and bonds with SOFR futures
Chapter 10: Hedging caps and floors with SOFR future options
Bibliography