secured-overnight-financing-rate

  1. Nicole Seaman

    P1.T3.23.6. Interest rate futures: SOFR futures and duration-based hedging

    Learning objectives: Describe the impact of the level and shape of the yield curve on the cheapest-to-deliver Treasury bond decision. Calculate the theoretical futures price for a Treasury bond futures contract. Calculate the final contract price on a Eurodollar futures contract and compare...
  2. Nicole Seaman

    P1.T3.22.29. Properties of Interest Rates

    Learning objectives: Describe Treasury rates, LIBOR, Secured Overnight Financing Rate (SOFR), and repo rates, and explain what is meant by the risk-free rate. Calculate the value of an investment using different compounding frequencies. Convert interest rates based on different compounding...
  3. Nicole Seaman

    P2.T9.908. What is the Secured Overnight Financing Rate (SOFR)?

    Learning objectives: Explain the Secured Overnight Financing Rate (SOFR) and its underlying transaction pool. Compare the underlying interest rate exposures for SOFR futures and other short-term interest rate futures. Questions: 908.1. Easily the most popular reference rate for derivatives...
Top