Indice ou Produit Financier
Secured Overnight Financing Rate (SOFR)SOFR
Broad volume-weighted median measure of the cost of borrowing cash overnight collateralized by U.S. Treasury securities on an ACT/360 basis.
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Couverture Institutionnelle de Secured Overnight Financing Rate (SOFR)
18 notes
Bond Duration Convexity Math
50/50 vs Regression-Weighted 2s5s10s Butterfly Curve Trades: DV01 Math
Standard 50/50 DV01-weighted 2s5s10s butterfly trades suffer hidden front-end volatility bias; empirical regression and PCA weighting immunize 5-year belly curvature against 2s10s slope steepeners.
Bond Duration Convexity Math
TIPS Real-Yield Duration vs Nominal Treasury Empirical Beta Hedging Math
Hedging $100M of 10-year TIPS 1-for-1 with nominal 10-year Treasuries over-hedges interest-rate risk by ~38% because real yields move only ~0.62 bps per 1.00 bp move in nominal yields.
Bond Duration Convexity Math
Floating-Rate Note (FRN) Interest-Rate Reset Duration vs Spread Duration Math
Confusing near-zero interest-rate reset duration with credit spread duration on Floating-Rate Notes is a classic fixed-income blunder; a 5-year SOFR FRN still loses ~4.55% per +100 bps widening in Discount Margin.
Covered Interest Parity Forwards
JPY 100 Pip Multiplier vs 10,000 Four-Decimal FX Forward Points Math
Hardcoding 10,000 into an FX forward parser misprices USD/JPY and EUR/JPY swap points by a factor of 100x; master ISO pip multipliers, fractional pipettes, and percentage-to-pip conversions.
Covered Interest Parity Forwards
Overnight (O/N), Tom-Next (T/N) & Spot-Next (S/N) T+2 FX Roll Math
Why do Wednesday Tom-Next FX swap points triple, and why do you SUBTRACT Overnight plus Tom-Next points when pricing a Value Today outright? Master T+0, T+1, and T+2 FX settlement math.
Covered Interest Parity Forwards
Broken-Date FX Forward Interpolation: Linear Points vs Central-Bank Kink Math
Linearly interpolating FX swap points between 1M and 2M tenors across an FOMC or BoJ rate decision misprices broken-date corporate forwards because overnight rates jump as a step function on the meeting date.
Covered Interest Parity Forwards
SOFR, ESTR & SONIA OIS Compounded In-Arrears FX Forward Discounting Math
Post-LIBOR FX forwards price exclusively off collateralized overnight Risk-Free Rate (RFR) discount curves; changing CSA collateral currency from USD SOFR to EUR ESTR alters multi-year forward valuation.
Covered Interest Parity Forwards
Cross-Rate Triangular FX Forward Arbitrage & Bid-Ask Swap Bounds Math
Every cross-currency forward outright obeys multiplicative Bid-Ask triangular parity through the US dollar; routing illiquid crosses synthetically via USD legs often cuts swap execution spreads by 40%.
Covered Interest Parity Forwards
Synthetic USD Commercial Paper Funding: FX Swap Implied SOFR Spread Math
Multinational corporate and bank treasurers arbitrage global money markets daily by issuing 90-day Euro or Sterling Commercial Paper and swapping proceeds into synthetic US dollars below direct USCP spreads.
Covered Interest Parity Forwards
USD/CAD T+1 Spot Lag, Modified Following & End-of-Month FX Calendar Math
Off-by-one calendar day bugs in FX forward engines misprice weekend and month-end swaps by 300%; master T+1 USD/CAD spot rules, split USD holiday exceptions, Modified Following, and End-of-Month rolls.
Covered Interest Parity Forwards
FX Time-Option (Window) Forward Pricing: Worst-Case Swap Point Rule Math
An FX Time-Option (Window) Forward lets importers or exporters draw down delivery on any day inside a 30-to-60-day window at zero upfront premium by pricing off the worst-case forward point date.
Cagr Irr Drawdown Compounding
XIRR Newton-Raphson Convergence, Descartes Multiple Roots & MIRR Math
Standard XIRR Newton-Raphson loops diverge past the r = -100% singularity or return arbitrary roots when cashflows flip sign twice; master Brent-Newton solvers and closed-form MIRR.
Cagr Irr Drawdown Compounding
Daily Leveraged ETF Beta Slippage & Volatility Decay Math (2x, 3x, -1x)
When an index finishes flat (+0.0%) over a volatile year with 32% annualized sigma, a 3x daily-reset ETF loses -26.5% before financing fees; master exact beta slippage and optimal leverage L*.
Cagr Irr Drawdown Compounding
Hedge Fund 2-and-20 Fee Drag, High-Water Mark & Hurdle Net CAGR Math
Because annual 20% incentive fees crystallize on up years without rebating losses on down years, a volatile fund with +10% gross CAGR can pay 48% of its cumulative 10-year gains in fees!
Cagr Irr Drawdown Compounding
Treynor Ratio, Jensen’s Alpha & Modigliani M-Squared (M2) Leverage Math
When adding a sleeve to a diversified multi-manager book, systematic beta matters more than standalone sigma; master exact Treynor, Jensen Alpha, and Modigliani M-Squared (M2) equations.
Cagr Irr Drawdown Compounding
Fisher Exact Real CAGR, Inflation & Annual Tax Drag Compounding Math
Taxing nominal returns in an inflationary regime levies a stealth wealth tax even when real returns are zero; master Fisher exact real CAGR and deferred vs annual turnover tax drag math.
Fixed Income Duration & Portfolio Risk
Compounded SOFR In-Arrears, NY Fed SOFR Index & Repo Carry Trade Calculator Guide
Exact ACT/360 mathematical specification for New York Fed Compounded SOFR in-arrears, SOFR Index ratio pricing, 5-day lookback observation shifts, and leveraged U.S. Treasury repo carry trade breakeven calculations.
Quantitative Pricing & Options Engines
CME SPAN 2 VaR Margin, Basel FRTB Expected Shortfall & Fractional Kelly Sizing Engine
Institutional risk specification comparing CME SPAN 2 Historical/Stress VaR margin decomposition, Basel III FRTB 97.5% Expected Shortfall, and autocorrelation-adjusted Sharpe, Sortino, and Half-Kelly position sizing in a 4.39% SOFR regime.
Questions Fréquentes (FAQ)
3 questions répondues
Qu’est-ce que Secured Overnight Financing Rate (SOFR) et comment est-il classé ?
Broad volume-weighted median measure of the cost of borrowing cash overnight collateralized by U.S. Treasury securities on an ACT/360 basis. Dans le graphe de connaissances, Secured Overnight Financing Rate (SOFR) est classé comme Indice ou Produit Financier sous le code SOFR.
Quelle juridiction et quelle autorité supervisent Secured Overnight Financing Rate (SOFR) ?
Secured Overnight Financing Rate (SOFR) relève de la juridiction US.
Comment Secured Overnight Financing Rate (SOFR) est-il couvert sur QuantCalc Tools ?
Secured Overnight Financing Rate (SOFR) est référencé dans 18 notes de recherche sur QuantCalc Tools, relié aux dossiers de courtiers et classements quantitatifs.
Dossiers des Courtiers Régulés Associés
Classements Quantitatifs →Autorités de Supervision & Registres Officiels
Tous les Régulateurs →Matrice Comparative des Entités Paires
Comparaison réglementaire et statutaire pour Secured Overnight Financing Rate (SOFR) et les entités associées
| Entité | Classification | Code | Juridiction | Régulateur | Wikidata ID | Notes |
|---|---|---|---|---|---|---|
Secured Overnight Financing Rate (SOFR)Actuel | Indice ou Produit Financier | SOFR | US | — | Q48996228 | 21 |
| Indice ou Produit Financier | BSM-IMPLIED-VOL | US | CME Options Pricing Standard | Q53536 | 25 | |
| Indice ou Produit Financier | BSM-IMPLIED-VOL-STD | US | CME Options Pricing Standard | Q53536 | 12 | |
| Indice ou Produit Financier | MONTE-CARLO-CHOLESKY | US | OCC / CME Risk Architecture | Q53536 | 26 | |
| Indice ou Produit Financier | MONTE-CARLO-CHOLESKY-STD | US | OCC / CME Risk Architecture | Q53536 | 15 | |
| Indice ou Produit Financier | CME-SPAN2-VAR | US | CME Clearing | Q53536 | 26 | |
| Indice ou Produit Financier | CME-SPAN2-VAR-STD | US | CME Clearing | Q53536 | 14 |