The Treasury Bond Basis has grown to become a mandatory reference book for every professional trader of Treasury Bond and note futures. Reflecting the numerous market changes, this book has been updated to cater explanations of valuing the short’s delivery alternatives. Including new discussions of global bond futures trading and applications for portfolio managers, Treasury Bond Analysis provides insightful analysis of the complex relationship between the cash market and futures market. The Treasury Bond Basis explores in detail how those opportunities have changed, and provides trading professionals with the updated knowledge and techniques to profit from, and manage exposure to, constantly occurring interest rate fluctuations.
This edition provides a comprehensive, up-to-date analysis of the relationship between these two markets.
The authors also added new illustrations, examples, and case studies covering every aspect of the bond basis.
Long valued as the essential reference on Treasury futures, The Treasury Bond Basis continues to provide investment and risk managers, institutional investors, securities dealers, and arbitrageurs with a clear and concise framework of the concepts and mechanisms underlying The Treasury Bond Basis.
The Treasury Bond Analysis Third Edition features:
A complete description of the short's strategic delivery options and how they can be valued
A menu of basis trades, including selling expensive bases, buying cheap bases, buying or selling "hot-run" bases, trading the calendar spread, and trading RP special effects
Nine eras of the bond basis that have shaped both its pricing and the ways the contract is used
Table of Contents
Chapter 1: Basic Concepts
Chapter 2: What Drives the Basis?
Chapter 3: The Short's Strategic Delivery Options
Chapter 4: The Option-Adjusted Basis
Chapter 6: Trading the Basis
Chapter 8: Nine Eras of the Bond Basis
Chapter 10: Applications for Portfolio Managers