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Securities Institute Ser.: Futures Bond Basis by Moorad Choudhry (2006, Perfect)

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Futures Bond Basis, Paperback by Choudhry, Moorad, ISBN 0470025891, ISBN-13 9780470025895, Brand New, Free shipping in the US The 2nd edition of The Futures Bond Basis, is an updated and revised version of Professor Moorad Choudhry's succinct but in-depth look at the government bond futures contract basis. It includes essential background on contract specifications and the theory of the basis. It also covers the concept of the cheapest to deliver; price and delivery data for a sample of gilt contracts; the drivers of the basis and its dynamics; the mechanics of basis trading; a detailed explanation of gross and net basis, and an explanation of the implied repo rate. Th uses examples from the UK gilt market, although the basic principles are applicable in any bond futures market.

About this product

Product Identifiers

PublisherWiley & Sons, Incorporated, John

ISBN-100470025891

ISBN-139780470025895

eBay Product ID (ePID)51438038

Product Key Features

Number of Pages256 Pages

LanguageEnglish

Publication NameFutures Bond Basis

SubjectFinance / General, Corporate Finance / General, Investments & Securities / General

Publication Year2006

FeaturesRevised

TypeTextbook

Subject AreaBusiness & Economics

AuthorMoorad Choudhry

SeriesSecurities Institute Ser.

FormatPerfect

Dimensions

Item Height0.8 in

Item Weight13 Oz

Item Length9.1 in

Item Width6 in

Additional Product Features

Edition Number2

Intended AudienceScholarly & Professional

TitleLeadingThe

Dewey Edition22

Series Volume Number1

IllustratedYes

Dewey Decimal332.6328

Table Of ContentPreface xiii About the author xix 1 Bond Futures Contracts 1 1.1 Introduction 2 1.1.1 Contract specifications 4 1.2 Futures pricing 11 1.2.1 Theoretical principle 12 1.2.2 Arbitrage-free futures pricing 16 1.3 Hedging using bond futures 21 1.3.1 Introduction 21 1.3.2 Hedging a bond portfolio 26 1.3.3 The margin process 31 1.A Conversion factor for the long gilt future 34 Selected bibliography 38 2 The Government Bond Basis 39 2.1 An introduction to forward pricing 41 2.1.1 Introduction 41 2.1.2 Illustrating the forward bond basis 43 2.2 Forwards and futures valuation 46 2.2.1 Introduction 46 2.2.2 Forwards 47 2.2.3 Futures 49 2.2.4 Forwards and futures 50 2.2.5 Relationship between forward and future price 52 2.2.6 The forward-spot parity 54 2.2.7 The basis and implied repo rate 57 2.3 The bond basis: basic concepts 60 2.3.1 Introduction 60 2.3.2 Futures contract specifications 62 2.3.3 The conversion factor 67 2.3.4 The bond basis 75 2.3.5 The net basis 78 2.3.6 The implied repo rate 82 2.4 Selecting the cheapest-to-deliver bond 92 2.5 Trading the basis 94 2.5.1 The basis position 94 2.6 Exercises 97 Selected bibliography 100 3 Basis Trading and the Implied Repo Rate 103 3.1 Analysing the basis 104 3.1.1 No-arbitrage futures price 105 3.1.2 Options embedded in bond futures contracts 110 3.2 Bond delivery factors 112 3.2.1 The cheapest-to-deliver 112 3.2.2 Selecting delivery time 114 3.2.3 Changes in CTD status 117 3.A General rules of the CTD bond 119 3.B A general model of the CTD bond 121 Selected bibliography 122 4 The Fundamentals of Basis Trading 123 4.1 Rates and spread history 124 4.1.1 Net basis history 124 4.1.2 The implied repo rate 128 4.2 Impact of the repo rate 129 4.2.1 The repo rate 130 4.2.2 Short bond position squeeze 134 4.3 Basis trading mechanics 136 4.3.1 Using the conversion factor 137 4.3.2 Trading profit and loss 138 4.4 Timing the basis trade using the IRR 139 4.4.1 The implied repo rate (again) 139 4.4.2 The IRR across futures contracts: Bloomberg illustration 143 Selected bibliography 145 Appendices A Repo Financing and the Concept of the 'special' 147 A.1 Classic repo 150 A.2 Basket repo: Illustration using Malaysian government bonds 151 A.3 Special bonds in repo 155 B Relative Value Analysis: Bond Spreads 159 B.1 Swap spread and Treasury spread 161 B.2 Asset-swap spread 163 B.3 Z-Spread 165 B.4 Cash-CDS basis 169 References 173 C Liffe Long Gilt Delivery History, March 1996 to June 2001 175 Glossary 199 List of abbreviations 227 Index 229

Edition DescriptionRevised edition

SynopsisThe 2nd edition of The Futures Bond Basis, is an updated and revised version of Professor Moorad Choudhry's succinct but in-depth look at the government bond futures contract basis. It includes essential background on contract specifications and the theory of the basis. It also covers the concept of the cheapest to deliver; price and delivery data for a sample of gilt contracts; the drivers of the basis and its dynamics; the mechanics of basis trading; a detailed explanation of gross and net basis, and an explanation of the implied repo rate. The book uses examples from the UK gilt market, although the basic principles are applicable in any bond futures market., The 2nd edition of The Futures Bond Basis, is an updated and revised version of Professor Moorad Choudhrys succinct but in-depth look at the government bond futures contract basis. It includes essential background on contract specifications and the theory of the basis., Basis trading is an important part of the government bond markets. In this book we review the essential elements of this type of trading. Written by a former government bond market maker and proprietary bond trader, the book features: Basic concepts of forward pricing The determinants of the basis Repo financing Hedging using bond futures Trading the basis and an introduction to trading strategy The concept of the cheapest-to-deliver bond The net basis and the implied repo rate The book is illustrated with in-depth practical examples and written in an accessible style. It will be of vital use to anyone with an interest or involvement in the government bond futures market.

LC Classification NumberHG6046