The futures bond basis:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Chichester
John Wiley
2006
|
| Edition: | 2. ed. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Includes index. - Previous ed.: Surrey: Yieldcurve, 2003 |
| Physical Description: | XVII, 236 S. graph. Darst. |
| ISBN: | 0470025891 9780470025895 |
Staff View
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV022190653 | ||
| 003 | DE-604 | ||
| 005 | 20080611 | ||
| 007 | t | ||
| 008 | 061212s2006 d||| |||| 00||| eng d | ||
| 015 | |a GBA604018 |2 dnb | ||
| 020 | |a 0470025891 |9 0-470-02589-1 | ||
| 020 | |a 9780470025895 |9 978-0-470-02589-5 | ||
| 035 | |a (OCoLC)266082059 | ||
| 035 | |a (DE-599)BVBBV022190653 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-1047 | ||
| 050 | 0 | |a HG6046 | |
| 082 | 0 | |a 332.6328 |2 22 | |
| 084 | |a QK 660 |0 (DE-625)141676: |2 rvk | ||
| 100 | 1 | |a Choudhry, Moorad |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a The futures bond basis |c Moorad Choudhry |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a Chichester |b John Wiley |c 2006 | |
| 300 | |a XVII, 236 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Includes index. - Previous ed.: Surrey: Yieldcurve, 2003 | ||
| 650 | 4 | |a Basis (Futures trading) | |
| 650 | 0 | 7 | |a Rentenmarkt |0 (DE-588)4177794-3 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Rentenmarkt |0 (DE-588)4177794-3 |D s |
| 689 | 0 | |5 DE-604 | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015401053&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
Record in the Search Index
| _version_ | 1805071521000980480 |
|---|---|
| adam_text |
CONTENTS
Preface 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
2.2.2 Arbitrage free futures pricing 16
1.3 Hedging using bond futures 21
1.3.1 Introduction 21
2.3.2 Hedging a bond portfolio 26
2.3.3 The margin process 31
1 .A Conversion factor for the long gilt future 34
Selected bibliography 38
1
viii CONTENTS
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 61
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
CONTENTS ix
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 arbitiage 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
1
x CONTENTS
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.I 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.I Swap spread and Treasury spread 161
B.2 Asset swap spread 163
CONTENTS xi
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 |
| adam_txt |
CONTENTS
Preface 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
2.2.2 Arbitrage free futures pricing 16
1.3 Hedging using bond futures 21
1.3.1 Introduction 21
2.3.2 Hedging a bond portfolio 26
2.3.3 The margin process 31
1 .A Conversion factor for the long gilt future 34
Selected bibliography 38
1
viii CONTENTS
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 61
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
CONTENTS ix
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 arbitiage 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
1
x CONTENTS
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.I 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.I Swap spread and Treasury spread 161
B.2 Asset swap spread 163
CONTENTS xi
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 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Choudhry, Moorad |
| author_facet | Choudhry, Moorad |
| author_role | aut |
| author_sort | Choudhry, Moorad |
| author_variant | m c mc |
| building | Verbundindex |
| bvnumber | BV022190653 |
| callnumber-first | H - Social Science |
| callnumber-label | HG6046 |
| callnumber-raw | HG6046 |
| callnumber-search | HG6046 |
| callnumber-sort | HG 46046 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 660 |
| ctrlnum | (OCoLC)266082059 (DE-599)BVBBV022190653 |
| dewey-full | 332.6328 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6328 |
| dewey-search | 332.6328 |
| dewey-sort | 3332.6328 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| edition | 2. ed. |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>00000nam a2200000 c 4500</leader><controlfield tag="001">BV022190653</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20080611</controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">061212s2006 d||| |||| 00||| eng d</controlfield><datafield tag="015" ind1=" " ind2=" "><subfield code="a">GBA604018</subfield><subfield code="2">dnb</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0470025891</subfield><subfield code="9">0-470-02589-1</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780470025895</subfield><subfield code="9">978-0-470-02589-5</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)266082059</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV022190653</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-1047</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG6046</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.6328</subfield><subfield code="2">22</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 660</subfield><subfield code="0">(DE-625)141676:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Choudhry, Moorad</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">The futures bond basis</subfield><subfield code="c">Moorad Choudhry</subfield></datafield><datafield tag="250" ind1=" " ind2=" "><subfield code="a">2. ed.</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Chichester</subfield><subfield code="b">John Wiley</subfield><subfield code="c">2006</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XVII, 236 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Includes index. - Previous ed.: Surrey: Yieldcurve, 2003</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Basis (Futures trading)</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Rentenmarkt</subfield><subfield code="0">(DE-588)4177794-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Rentenmarkt</subfield><subfield code="0">(DE-588)4177794-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015401053&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield></record></collection> |
| id | DE-604.BV022190653 |
| illustrated | Illustrated |
| index_date | 2024-07-02T16:21:01Z |
| indexdate | 2024-07-20T04:39:08Z |
| institution | BVB |
| isbn | 0470025891 9780470025895 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-015401053 |
| oclc_num | 266082059 |
| open_access_boolean | |
| owner | DE-1047 |
| owner_facet | DE-1047 |
| physical | XVII, 236 S. graph. Darst. |
| publishDate | 2006 |
| publishDateSearch | 2006 |
| publishDateSort | 2006 |
| publisher | John Wiley |
| record_format | marc |
| spelling | Choudhry, Moorad Verfasser aut The futures bond basis Moorad Choudhry 2. ed. Chichester John Wiley 2006 XVII, 236 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Includes index. - Previous ed.: Surrey: Yieldcurve, 2003 Basis (Futures trading) Rentenmarkt (DE-588)4177794-3 gnd rswk-swf Rentenmarkt (DE-588)4177794-3 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015401053&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Choudhry, Moorad The futures bond basis Basis (Futures trading) Rentenmarkt (DE-588)4177794-3 gnd |
| subject_GND | (DE-588)4177794-3 |
| title | The futures bond basis |
| title_auth | The futures bond basis |
| title_exact_search | The futures bond basis |
| title_exact_search_txtP | The futures bond basis |
| title_full | The futures bond basis Moorad Choudhry |
| title_fullStr | The futures bond basis Moorad Choudhry |
| title_full_unstemmed | The futures bond basis Moorad Choudhry |
| title_short | The futures bond basis |
| title_sort | the futures bond basis |
| topic | Basis (Futures trading) Rentenmarkt (DE-588)4177794-3 gnd |
| topic_facet | Basis (Futures trading) Rentenmarkt |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015401053&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT choudhrymoorad thefuturesbondbasis |