Inferring Term Rates from SOFR Futures Prices
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References listed on IDEAS
- Lloyd, S. P., 2017.
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More about this item
KeywordsInterest rates ; Futures ; Reference rates ; Financial contracts ; LIBOR ; SOFR;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-FMK-2019-03-25 (Financial Markets)
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