sofr

  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...
    • Nicole Seaman
    • Thread
    • cheapest-to-deliver convexity-adjustment duration-based-hedge-ratio duration-based-hedging-strategy eurodollar-futures interest-rate-futures secured-overnight-financing-rate sofr treasury-bond
    • Replies: 0
    • Forum: FRM® Practice Questions
  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...
    • Nicole Seaman
    • Thread
    • compounding-frequencies interest-rates libor repo-rates risk-free-rate secured-overnight-financing-rate sofr treasury-rates
    • Replies: 0
    • Forum: FRM® Practice Questions
  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...
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