This is 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; and, 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.Securities dealers and financial institutions that
buy, sell, or hold Treasury bonds and notes invariably participate
in the futures market. The key to effectively managing positions in
both the futures and cash markets lies in understanding the nature
of the price differential between the futures price and prices of
the underlying issues. This differential is the 'basis'. "The
Treasury Bond Basis, Third Edition" provides a comprehensive and
up-to-date analysis of the relationship between these two
markets.While the basic outline of "The Treasury Bond Basis"
remains unchanged, this seminal book has been expanded, updated,
and substantially rewritten to reflect how treasuries are traded
today, including: basic tools needed for understanding the bond
basis, from futures contract specifications to sources of profit in
a basis trade; a complete description of the short's strategic
delivery options and how they can be valued; and, best alternatives
for hedging with treasury futures, including creating synthetic
bonds, option-adjusted DV01s, and more. This title includes: a menu
of basis trades, including selling expensive bases, buying cheap
bases, buying or selling 'hot-run' bases, trading the calendar
spread, and trading RP special effects; and, strategies for putting
together volatility arbitrage trades when futures seem to be
mispriced. Nine eras of the bond basis that have shaped both its
pricing and the ways the contract is used. An introduction to key
non-dollar futures contracts - how they are structured, how they
relate to respective cash markets, and trading themes in European
markets is presented.This book contains applications for using
futures to manage duration and yield curve exposure and enhance
returns on bond portfolios. Long valued as the essential reference
on treasury futures, "The Treasury Bond Basis" continues to provide
investment and risk managers, institutional investors, securities
dealers, and arbitrageurs with a clear and concise framework of the
concepts and mechanisms underlying the treasury bond basis.
|Country of origin:
||McGraw-Hill Library of Investment and Finance
• Terry Belton
||234 x 218 x 23mm (L x W x T)
Business & Economics >
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