SOFR Futures and Options: A Practitioner's Guide

Doug Huggins · Christian Schaller

Σεπ 2022 · Gildan Media · Αφήγηση από Kent Klineman

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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 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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Doug Huggins has over thirty-two years of experience working in the fixed income markets. He has worked as a European fixed income relative value researcher at Deutsche Bank, as well as a Global Head of Fixed Income Relative Value Research and Global Head of Hedge Fund Sales at ABN AMRO. Kent Klineman is a voice actor and narrator based in Los Angeles. A Tony Award winner, Kent has acted in regional theater and on Broadway. He recently guest starred for the second time on FX's hit show Better Things.