SOFR Futures and Options,9781119888949

SOFR Futures and Options

by ; ;
Edition: 1st
ISBN13: 9781119888949
ISBN10: 1119888948
Format: Hardcover
Pub. Date: 2022-09-14
Publisher(s): Wiley
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Summary

Many financial market participants are familiar with the Eurodollar futures and options complex, which has been a mainstay of global finance for more than thirty years. But with the advent of the SOFR futures and options complex as the successor to the Eurodollar complex, most professional market participants will need a primer on the new SOFR contracts. SOFR Futures and Options is that primer.

SOFR Futures and Options
  • Explains the secured overnight financing rate--the index on which the SOFR futures and options complex is based
  • Provides detailed specifications of the SOFR futures and options contacts listed at the CME
  • Discusses the effects of margin on the pricing, hedging, and trading of SOFR futures and options contracts
  • Provides detailed worked examples of typical SOFR trades
SOFR Futures Options is the standard resource for professional market participants seeking a practical understanding of the SOFR futures and options complex.

Author Biography

DOUG HUGGINS, PHD, 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, and founded a proprietary trading desk at ABN.

CHRISTIAN SCHALLER, PHD, was Global Head of Leveraged Investment Strategy at ABN AMRO and is now an independent consultant and trainer for financial institutions. He co-founded, with Doug Huggins, QMA Analytics, a London-based firm providing analytic software for financial market participants.

Table of Contents

FOREWORD BY GALEN BURGHARDT

 

Introduction

 

SECTION 1: Concepts

Chapter 1: SOFR

Chapter 2: SOFR Futures

Chapter 3: SOFR lending markets and the term rate

Chapter 4: SOFR spread futures and the basis

Chapter 5: Options

Chapter 6: Price Biases and SOFR Curve Building

 

SECTION 2: Use cases

Chapter 7: Basic hedges with SOFR futures

Chapter 8: Hedging the SOFR Term Rate

Chapter 9: Hedging swaps and bonds with SOFR futures

Chapter 10: Hedging caps and floors with SOFR future options

 

Bibliography

 

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