Treasury Bond Basis An In-Depth Analysis for Hedgers, Speculators and Arbitrageurs
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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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: $65.00
Copyright year: 1994
Publisher: McGraw-Hill Companies, The
Size: 6.25" wide x 9.25" long x 1.00" tall
|List of Exhibits|
|Preface to the Original Edition|
|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|