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

Name: Treasury Bond Basis An In-Depth Analysis for Hedgers, Speculators, and Arbitrageurs
Availability: InStock
ISBN: 9780071456104

ISBN-10: 0071456104

ISBN-13: 9780071456104

Edition: 3rd 2005 (Revised)

Authors: Galen Burghardt, Terry Belton

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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.

Book details

Edition: 3rd
Copyright year: 2005
Publisher: McGraw-Hill Companies, The
Publication date: 7/15/2005
Binding: Hardcover
Pages: 320
Size: 6.00" wide x 9.25" long x 1.25" tall
Weight: 1.254
Language: English




Basic concepts



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



Calculating carry



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)