Doug Huggins

SOFR Futures and Options is the practical guide through the maze of the transition from LIBOR. In the first section, it provides an in-depth explanation of the concepts involved: The repo market and the construction of SOFR SOFR-based lending markets and the term rate The secured-unsecured basis SOFR futures and options and their spread contracts Margin and convexity Applying these...

An invaluable guide for fixed income practitioners, fully updated to incorporate the shift from LIBOR to SOFR Since its first edition in 2013, Fixed Income Relative Value Analysis: A Practitioner’s Guide to the Theory, Tools, and Trades has become the gold standard for guides linking financial theories with practical analysis tools. The newly revised second edition reflects both the progress...

As western governments issue increasing amounts of debt, the fixed income markets have never been more important. Yet the methods for analysing these markets have failed to keep pace with recent developments, including the deterioration in the credit quality of many sovereign issuers. In Fixed Income Relative Value Analysis, Doug Huggins and Christian Schaller address this gap with a set...