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
Price: 40.16 USD
Availability: InStock
ISBN: 9781557384799

ISBN-10: 1557384797

ISBN-13: 9781557384799

Edition: 1994 (Revised)

Authors: Galen D. Burghardt, Terry Belton

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.

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