Treasury Bond Basis

An In-Depth Analysis for Hedgers, Speculators, and Arbitrageurs

Galen Burghardt, Terry Belton, Morton Lane, John Papa

320 pages, parution le 19/09/2005 (3^eme édition)

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Résumé

Now in its third edition, 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.

L'auteur - Terry Belton

Terry Belton, Ph.D., is managing director, and head of U.S. fixed income strategy at JPMorgan. An adjunct professor of finance at the University of Chicago Graduate School of Business, Dr. Belton was formerly director of research for Discount Corporation of New York Futures and a senior economist at Freddie Mac.

Sommaire

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
App. A Calculating conversion factors
App. B Calculating carry
App. C Conventions in major government bond markets
App. D German federal bonds and notes (Bubills, Schatze, Bobls, and Bunds)
App. E Japanese government bonds (JGBs)
App. F Government bonds of the United Kingdom of Great Britain and Northern Ireland (Gilts)

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Mc Graw Hill
Auteur(s)	Galen Burghardt, Terry Belton, Morton Lane, John Papa
Parution	19/09/2005
Édition	3^eme édition
Nb. de pages	320
Format	15,5 x 23,5
Couverture	Relié
Poids	585g
Intérieur	Noir et Blanc
EAN13	9780071456104
ISBN13	978-0-07-145610-4