The Futures Bond Basis

Moorad Choudhry - Collection The Securities & Investment Institute

256 pages, parution le 18/04/2006 (2^eme édition)

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Résumé

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. The book uses examples from the UK gilt market, although the basic principles are applicable in any bond futures market.

L'auteur - Moorad Choudhry

Dr Moorad Choudhry is Head of Treasury at KBC Financial Products in London. He is a Visiting Professor at the Department of Economics, London Metropolitan University, a Visiting Research Fellow at the ICMA Centre, University of Reading, a Senior Fellow at the Department of Mathematical Trading and Finance, Cass Business School, and a Fellow of the Securities and Investment Institute.

Sommaire

Bond futures contracts
The government bond basis
Basis trading and the implied repo rate
The fundamentals of basis trading

A. Repo financing and the concept of the 'special'
B. Relative value analysis: bond spreads
C. Liffe long gilt delivery history, march 1996 to june 2001

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Wiley
Auteur(s)	Moorad Choudhry
Collection	The Securities & Investment Institute
Parution	18/04/2006
Édition	2^eme édition
Nb. de pages	256
Format	15,5 x 23
Couverture	Broché
Poids	370g
Intérieur	Noir et Blanc
EAN13	9780470025895
ISBN13	978-0-470-02589-5