SOFR Futures and Options
Book Details
Format
Hardback or Cased Book
Book Series
Wiley Finance
ISBN-10
1119888948
ISBN-13
9781119888949
Publisher
John Wiley & Sons Inc
Imprint
John Wiley & Sons Inc
Country of Manufacture
US
Country of Publication
GB
Publication Date
Sep 15th, 2022
Print length
256 Pages
Weight
582 grams
Dimensions
16.20 x 23.50 x 2.10 cms
Product Classification:
Finance & accounting
Ksh 6,850.00
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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 SOFRSOFR-based lending markets and the term rateThe secured-unsecured basisSOFR futures and options and their spread contractsMargin and convexityApplying 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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