Bunds and bund futures: fortune favours the brave
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Basingstoke
Macmillan u.a.
1991
|
| Edition: | 1. publ. |
| Series: | Finance and capital markets
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | IX, 113 S. graph. Darst. |
| ISBN: | 1561590339 0333569873 |
Staff View
MARC
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Record in the Search Index
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| adam_text | Contents
Acknowledgements vii
Preface ix
1 Introduction 1
j The German economy and public authority debt ]
] Funding instruments available to the Federal Government 2
i Bunds S
The Bundesbank and the issuing process of Bunds 6
Trading in Bunds 8
LIFFE 9
The Deutsche TerminbSrse (DTB) 10
Appendix 1 13
2 Bund Futures and Bund Options on the Futures 25
The Bund futures 25
The LIFFE Bund option 32
The OTC option market on cash bonds 41
Appendix 2 42
3 Bund Market Mathematics and Trading Techniques 49
The price of a Bund 49
Yield to maturity 49
Definition of a yield curve 51
Yield curve switches 53
Duration 54
Convexity 56
Yield value of 0.01 57
Using risk measures in practice 58
Switches and swaps 59
Current yield 65
Other types of yield curves 66
Spot rate curve 66
4 German Government Securities Repurchase Agreement
and Securities Lending Markets
Repurchase agreements (
Market structure 1
Market participants 7
General and special collateral 7
Market practice Bund lending 7
Risks involved in repos, buy sell backs and Bund lending 7
5 Bund Basis Trading 7
Principles of basis trading T,
The cash and carry arbitrage 7!
What is basis trading? 8(
The cheapest to deliver Bund 81
Cost of carry 82
The implied repo rate 83
The concept of cheapest to deliver 84
Option adjusted basis 85
The delivery mechanism 86
History of the basis 87
6 Settlement of Bunds, Bund Futures, Options on the Futures
and OTC Options on Bunds 97
Outline 97
The settlement of Bunds 97
Bund futures settlement at LIFFE 99
The margining of Bund future options 102
The settlement of OTC Bund options 104
7 Taxation of Bunds, Bund Futures and Options on the Futures 105
Outline 105
Tax law in Great Britain and Germany 105
Taxation of capital gains and interest earned on Bunds 106
Taxation of Bund lending agreements 106
Evaluation of Bund securities for property tax 107
Taxation of capital gains on Bund futures and Bund options 107
Concluding comment 108
Bibliography 109
Index HI
|
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| discipline | Wirtschaftswissenschaften |
| edition | 1. publ. |
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| id | DE-604.BV005883147 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T16:36:17Z |
| institution | BVB |
| isbn | 1561590339 0333569873 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-003684283 |
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| physical | IX, 113 S. graph. Darst. |
| publishDate | 1991 |
| publishDateSearch | 1991 |
| publishDateSort | 1991 |
| publisher | Macmillan u.a. |
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| series2 | Finance and capital markets |
| spelling | Corrigan, Daniel Verfasser aut Bunds and bund futures fortune favours the brave Daniel Corrigan ; Mark Pohlmann 1. publ. Basingstoke Macmillan u.a. 1991 IX, 113 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Finance and capital markets Futures market Germany Bundesanleihe (DE-588)4243815-9 gnd rswk-swf Deutschland Deutschland Bundesrepublik (DE-588)4011889-7 gnd rswk-swf Deutschland Bundesrepublik (DE-588)4011889-7 g Bundesanleihe (DE-588)4243815-9 s DE-604 Pohlmann, Mark Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=003684283&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Corrigan, Daniel Pohlmann, Mark Bunds and bund futures fortune favours the brave Futures market Germany Bundesanleihe (DE-588)4243815-9 gnd |
| subject_GND | (DE-588)4243815-9 (DE-588)4011889-7 |
| title | Bunds and bund futures fortune favours the brave |
| title_auth | Bunds and bund futures fortune favours the brave |
| title_exact_search | Bunds and bund futures fortune favours the brave |
| title_full | Bunds and bund futures fortune favours the brave Daniel Corrigan ; Mark Pohlmann |
| title_fullStr | Bunds and bund futures fortune favours the brave Daniel Corrigan ; Mark Pohlmann |
| title_full_unstemmed | Bunds and bund futures fortune favours the brave Daniel Corrigan ; Mark Pohlmann |
| title_short | Bunds and bund futures |
| title_sort | bunds and bund futures fortune favours the brave |
| title_sub | fortune favours the brave |
| topic | Futures market Germany Bundesanleihe (DE-588)4243815-9 gnd |
| topic_facet | Futures market Germany Bundesanleihe Deutschland Deutschland Bundesrepublik |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=003684283&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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