SOFR Futures and Options

SOFR Futures and Options is a comprehensive guide to navigating the transition from LIBOR, covering key concepts, examples, and hedging strategies for loans, swaps, bonds, and floors. It is a valuable resource for professionals and students in finance and business.

Format: Hardback
Length: 256 pages
Publication date: 15 September 2022
Publisher: John Wiley & Sons Inc

The transition from LIBOR to the Secured Overnight Financing Rate (SOFR) is a complex process that requires a comprehensive understanding of the underlying concepts. To assist professionals working in financial institutions and students of finance and business, "SOFR Futures and Options" provides a practical guide through this maze.

In the first section of the book, the authors delve into the intricacies of the repo market, the construction of SOFR, SOFR-based lending markets, and the term rate. They explain the concepts of secured-unsecured basis, SOFR futures and options, and their spread contracts,Margin, and convexity. Through detailed worked-through examples, the authors demonstrate how these concepts can be applied to hedging loans, swaps, bonds, and floors using SOFR futures and options.

The second section of the book offers practical insights and examples that are supported by interactive spreadsheets accessible on the web. These spreadsheets allow readers to apply the theoretical concepts learned in the book to real-world scenarios and gain a deeper understanding of the hedging strategies available with SOFR futures and options.

"SOFR Futures and Options" is a gold standard resource for professionals working at financial institutions. It provides a comprehensive and up-to-date understanding of the SOFR framework, enabling them to navigate the transition from LIBOR effectively. Additionally, the book is valuable for students of finance and business, as well as those preparing for the Chartered Financial Analyst exam.

With its clear and concise writing style, extensive examples, and interactive resources, "SOFR Futures and Options" is an essential tool for anyone seeking to stay ahead of the curve in the world of finance. Whether you are a seasoned professional or a newcomer to the field, this book will help you gain a deeper understanding of the SOFR transition and develop the skills necessary to navigate this complex market.

Weight: 562g
Dimension: 162 x 235 x 21 (mm)
ISBN-13: 9781119888949