SOFR Futures and Options (eBook, PDF)

SOFR Futures and Options (eBook, PDF)

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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. T...

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