Dynamic term structure models for SOFR futures
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DOI: 10.1002/fut.22246
Abstract: The LIBOR rate is currently scheduled for discontinuation, and the replacement advocated by regulators in the US is the Secured Overnight Financing Rate (SOFR). The change has the potential to disrupt the $200 trillion market… read more here.
Keywords: term; sofr futures; term structure; models sofr ... See more keywords