Hedging Term SOFR Fixing via SOFR Futures
The paper outlines a strategy using a Time Weighted Average Price algorithm to manage the discrepancy between Term SOFR and overnight SOFR fixings.
Featured in No. 15 on 14 Sep 2023 · 5 days after release · 0 citations today
- Released
- 9 Sep 2023
- First featured
- No. 15 · 14 Sep 2023
- Citations (Semantic Scholar)
- 0
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 4
- Identifier
- SSRN 4566882
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