SOFR futures and options: a practitioner's guide
"By many measures, the Eurodollar futures and options complex has been the most successful in the world. Since its introduction in 1981, the tremendous volume and open interest of the Eurodollar complex have made the Chicago Mercantile Exchange the envy of other exchanges, from São Paulo to Singapore. But global financial regulators are actively retiring LIBOR, the index on which the Eurodollar contract is based, in favor of SOFR, the secured overnight financing rate. Not surprisingly, the CME …
Read More ↓Title Statements
- Full title :SOFR futures and options : a practitioner's guide / Doug Huggins, Christian Schaller.
Summary
"By many measures, the Eurodollar futures and options complex has been the most successful in the world. Since its introduction in 1981, the tremendous volume and open interest of the Eurodollar complex have made the Chicago Mercantile Exchange the envy of other exchanges, from São Paulo to Singapore. But global financial regulators are actively retiring LIBOR, the index on which the Eurodollar contract is based, in favor of SOFR, the secured overnight financing rate. Not surprisingly, the CME has introduced a SOFR futures contract based on this rate. In fact, the CME has introduced two futures contracts--a three-month contact, and a one-month contract--along with options on these futures. The SOFR index has a number of key differences from the LIBOR index, and these differences have material implications for market participants, and SOFR Futures and Options will provide users of these contracts with the information they need to use these products with confidence"
Read More ↓Edition Statements
- Publication Date:2023
Publication Statements
- Publisher(s):John Wiley & Sons, Inc
- Place of Publication:Hoboken, New Jersey
- Language:eng
- Publication Date:2023
Notes
Includes bibliographical references and index.
The Physical Object
- Description:pages cm
Edition Identifiers
- ISBN:9781119888949, 1119888948
- oclc:on1334993697
- LC Classification:HG6024.5
- Dewey Decimal:332.63/23
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