SOFR Futures and Options
Author: Huggins, Doug
ISBN: 9781119888949
RM179.78
PublisherJohn Wiley & Sons IncPublication DateFormat HardcoverWeight No. of Pages 256
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
