The treasury bond basis : an in-depth analysis for hedgers, speculators, and arbitrageurs / Galen D. Burghardt ... [et al.]

Author : Burghardt, Galen
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The treasury bond basis : an in-depth analysis for...

The Treasury Bond Basis is the mandatory reference text for Treasury bond and note futures trading rooms around the world. This updated edition reflects the numerous market changes, chief among them the Chicago Board of Trade’s decision to switch from an 8 percent to a 6 percent conversion factor. Revisions include greater detail on hedging and trading, updated explanations of options valuation and short delivery options, and discussion of global bonds futures trading and applications. The essential, updated guide to profiting and hedging using the "basis," from two top authorities on futures research Since it was first published in 1989, The Treasury Bond Basis has grown to become a mandatory reference book for every professional trader of Treasury bond and note futures. An insightful analysis of the complex relationship between the cash market and futures market for Treasury bonds and notes, its information and influence have helped thousands of hedgers, speculators, and arbitrageurs to understand and profit from that relationship. The third edition of this indispensable reference reflects numerous changes in the market in the decade since the second edition, including: Updated explanations of valuing the short's delivery alternatives New discussions of global bond futures trading and applications for portfolio managers New illustrations, examples, and case studies covering every aspect of the bond basis In the two decades-plus since the introduction of bond futures, fluctuations in the T-bond basis have supplied consistent opportunities for hedgers and traders. The Treasury Bond Basis explores in detail how those opportunities have changed, and provides trading professionals with the updated knowledge and techniques to profit from, and manage exposure to, constantly occurring interest rate fluctuations

Publisher : New York : McGraw-Hill
Publish Year : 2005
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