You are a dealer and you just sold a 5-year swap with a notional of $100 million.

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You are a dealer and you just sold a 5-year swap with a notional of $100 million. You plan to hedge this by trading SOFR futures. How many futures should you trade and when should they expire?

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Financial Reporting And Analysis

ISBN: 9781260247848

8th Edition

Authors: Lawrence Revsine, Daniel Collins, Bruce Johnson, Fred Mittelstaedt, Leonard Soffer

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Posted Date: Dec 28, 2023 07:08 AM

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You are a dealer and you just sold a 5-year swap with a notional of $100 million.

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To determine the number of SOFR futures to trade and when they should expire we need to consider a f... View the full answer

Financial Reporting And Analysis

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