Treasury Bond Basis An In-Depth Analysis for Hedgers, Speculators, and Arbitrageurs
Edition: 3rd 2005 (Revised)
List price: $80.00
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Description: This updated edition reflects the numerous market changes, chief among them the Chicago Board of Trade's decision to switch from an 8 per cent to a 6 per cent conversion factor. Revisions include greater detail on hedging & trading, updated explanations of options valuation & short delivery options.
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All the information you need in one place! Each Study Brief is a summary of one specific subject; facts, figures, and explanations to help you learn faster.
List price: $80.00
Copyright year: 2005
Publisher: McGraw-Hill Companies, The
Publication date: 7/15/2005
Size: 6.00" wide x 9.25" long x 1.25" tall
|What drives the basis?|
|The short's strategic delivery options|
|The option-adjusted basis|
|Approaches to hedging|
|Trading the basis|
|Volatility arbitrage in the treasury bond basis|
|Nine eras of the bond basis|
|Non-dollar government bond futures|
|Applications for portfolio managers|
|Calculating conversion factors|
|Conventions in major government bond markets|
|German federal bonds and notes (Bubills, Schatze, Bobls, and Bunds)|
|Japanese government bonds (JGBs)|
|Government bonds of the United Kingdom of Great Britain and Northern Ireland (Gilts)|