SOFR Term Rates from Treasury Repo Pricing
Wujiang Lou
The Journal of Derivatives Summer 2022, jod.2022.1.153; DOI: https://doi.org/10.3905/jod.2022.1.153
Wujiang Lou
is a director quantitative trader at HSBC, and an adjunct faculty at the New York University in New York City, NY
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In this issue
The Journal of Derivatives
Vol. 29, Issue 5
Summer 2022
SOFR Term Rates from Treasury Repo Pricing
Wujiang Lou
The Journal of Derivatives Feb 2022, jod.2022.1.153; DOI: 10.3905/jod.2022.1.153