The Futures Bond Basis
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The 2nd edition of The Futures Bond Basis, is an updated and revised version of Professor Moorad Choudhry s succinct but in depth look at the government bond futures contract basis. It includes essential background on contract specifications and the theory of the basis.
Basis trading is an important part of the government bond markets. In this book we review the essential elements of this type of trading. Written by a former government bond market maker and proprietary bond trader, the book features:
_ Basic concepts of forward pricing
_ The determinants of the basis
_ Repo financing
_ Hedging using bond futures
_ Trading the basis and an introduction to trading strategy
_ The concept of the cheapest-to-deliver bond
_ The net basis and the implied repo rate
The book is illustrated with in-depth practical examples and written in an accessible style. It will be of vital use to anyone with an interest or involvement in the government bond futures market.
_ Basic concepts of forward pricing
_ The determinants of the basis
_ Repo financing
_ Hedging using bond futures
_ Trading the basis and an introduction to trading strategy
_ The concept of the cheapest-to-deliver bond
_ The net basis and the implied repo rate
The book is illustrated with in-depth practical examples and written in an accessible style. It will be of vital use to anyone with an interest or involvement in the government bond futures market.
