SOFR Futures and Options: A Practitioner's Guide

Narrated by:
Kent Klineman

Unabridged Audiobook

Ratings
Book
Narrator
Release Date
September 2022
Duration
9 hours 49 minutes
Summary
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.
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