Treasury Bond Basis An In-Depth Analysis for Hedgers, Speculators and Arbitrageurs

ISBN-10: 1557384797

ISBN-13: 9781557384799

Edition: 1994 (Revised)

List price: $65.00
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Description:

The Treasury Bond Basis provides a comprehensive and detailed discussion of the relationship between the Treasury Bond market and Treasury bond futures. Vital information such as analysis of the basis relationship between shorter term Treasure securities and Treasury bill and note futures is all here in one source. In-depth coverage includes: The forces that influence the basis; Practical considerations associated with the basis; Basis-related strategies; Strategies to enhance treasury bond yields.
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Book details

List price: $65.00
Copyright year: 1994
Publisher: McGraw-Hill Companies, The
Binding: Hardcover
Pages: 225
Size: 6.25" wide x 9.25" long x 1.00" tall
Weight: 1.342
Language: English

List of Exhibits
Preface
Preface to the Original Edition
Introduction
Basic Concepts
What Drives the Basis?
The Short's Strategic Delivery Options
The Option-Adjusted Basis
Hedging with Bond and Note Futures
Trading the Basis
Volatility Arbitrage in the Treasury Bond Basis
Seven Eras of the Bond Basis
Non-Dollar Government Bond Futures
Applications for Portfolio Managers
Appendix A: Calculating Conversion Factors
Appendix B: Calculating Carry
Appendix C1: History of CBOT Treasury Bond Deliveries, December 1977 to June 1993
Appendix C2: History of CBOT Ten-Year Note Deliveries, June 1982 to June 1993
Appendix C3: History of CBOT Five-Year Note Deliveries, December 1988 to June 1993
Appendix C4: History of CBOT Two-Year Note Deliveries, September 1990 to June 1993
Appendix D: The Wild Card
Index
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