SOFR Futures Explained: 3-Month & 1-Month Pricing in Excel
VloĆŸit
- Äas pĆidĂĄn 31. 05. 2024
- Join Ryan O'Connell, CFA, FRM, as he demystifies SOFR Futures Contracts in this comprehensive tutorial. Learn how to effortlessly price both 3-Month and 1-Month SOFR Futures using Excel, perfect for finance professionals and students alike. Dive into the world of futures contracts with expert insights and practical, easy-to-follow Excel demonstrations
đŸ Download Free Excel File:
âș Grab the file from this video here: ryanoconnellfinance.com/produ...
đ Tutor With Me: 1-On-1 Video Call Sessions Available
âș Join me for personalized finance tutoring tailored to your goals: ryanoconnellfinance.com/finance-tutoring/
đšâđŒ My Freelance Financial Modeling Services:
âș Custom financial modeling solutions tailored for your needs: ryanoconnellfinance.com/freelance-finance-services/
đ CFA Exam Prep Discount - AnalystPrep:
âș Get 20% off CFA Level 1, 2, and 3 complete courses with promo code "RYAN20". Explore here: analystprep.com/shop/all-3-levels-of-the-cfa-exam-complete-course-by-analystprep/?ref=mgmymmr
đ FRM Exam Prep Discount - AnalystPrep:
âș Get 20% off FRM Part 1 and Part 2 complete courses with promo code "RYAN20". Explore here: analystprep.com/shop/frm-part-1-and-part-2-complete-course-by-analystprep/?ref=mgmymmr
Chapters:
0:00 - SOFR Futures Contract Definition
3:14 - Pricing a 3-Month SOFR Futures Contract
8:29 - Pricing a 1-Month SOFR Futures Contract
*Disclosure: This is not financial advice and should not be taken as such. The information contained in this video is an opinion. Some of the information could be wrong. This channel is owned and operated by Portfolio Constructs LLC. Some of the links above are affiliate links, meaning, at no additional cost to you, I will earn a commission if you click through and make a purchase.
đ Tutor With Me: 1-On-1 Video Call Sessions Available
âș Join me for personalized finance tutoring tailored to your goals: ryanoconnellfinance.com/finance-tutoring/
đŸ Download Free Excel File:
âș Grab the file from this video here: ryanoconnellfinance.com/product/sofr-futures-excel-toolkit/
Hey Ryan,Just wanted to let you know your videos on fixed income topics helped me out a lit for the CFA level 1 and 2,i recently moved from an audit role to a structured finance role (CLO,CMBS,ABS etc)...Love a lot of the stuff you put out as it feels more practical and hand on in excel.....Cheers.
That feedback means a lot to me as you have been one of the people comment on my channel and videos for the longest time! I appreciate you coming back to let me know that the videos helped you out and that is awesome to hear that you landed such a desirable job. Good luck with the role and please come back to let me know how the new job is going
Haha ofcourse,began my level 3 prep lately and will be sure to rewatch some of your videos to brush up lol.
â@@RyanOConnellCFAAlso since you seem to have been in the industry for a while now I'm curious what your opinion is about the structured finance/securitization space..Have you worked in this area or seen anyone you know work there?.I'm loving the field so far but would love to hear your take.
@@pizzaandmeth4538 Awesome, I hope you get some value out of the videos for Level 3! I have never worked in a role that solely dedicated to securitization but I've got some exposure to it. For example, I managed the risk of an asset backed commercial paper program for the last company I worked for and found it to be very interesting. There was a lot of work that went into setting it up and making sure that everything is reported and measured properly. In my opinion, it is a cool space with lots of meaningful puzzles to solve
â@@RyanOConnellCFAThat's pretty cool,it's a bit of a niche area,but 5 months in and I find it interesting..let's see where it goes haha.
amazing channel!!!
Thank you!!
Hi Ryan just wanted to ask you do you trade 3m sofr or fed fund futures regularly like the spreads and flys etc?
Hello, I do not but I got more intimately familiar with the 3 month SOFR futures math when I built out a complex model for a client that trades them
@@RyanOConnellCFA I understand can you by any chance get me in touch with that client as I would like to learn more about sofr spread trading and beyond
where do you get the SOFR percent values from?
I got these from CME Groups website. You can get SOFR rates and export them to XLSX for a historical time range that you define using Market Watch
What futures brokerage trades âSOFRâ?
You can trade them on CME Group!