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.
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