LEADER 04757nam 2200661Ia 450 001 9910143584603321 005 20170815113047.0 010 $a1-119-20842-4 010 $a1-280-73959-2 010 $a9786610739592 010 $a0-470-02946-3 035 $a(CKB)1000000000357160 035 $a(EBL)284445 035 $a(OCoLC)85855841 035 $a(SSID)ssj0000160349 035 $a(PQKBManifestationID)11154057 035 $a(PQKBTitleCode)TC0000160349 035 $a(PQKBWorkID)10182793 035 $a(PQKB)10435224 035 $a(MiAaPQ)EBC284445 035 $a(CaSebORM)9780470025895 035 $a(EXLCZ)991000000000357160 100 $a20051110d2006 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 14$aThe futures bond basis$b[electronic resource] /$fMoorad Choudhry 205 $a2nd ed. 210 $aChichester, England ;$aHoboken, NJ $cJohn Wiley$d2006 215 $a1 online resource (257 p.) 225 1 $aSecurities Institute 300 $aPrevious ed.: Surrey : Yieldcurve, 2003. 311 $a0-470-02589-1 320 $aIncludes bibliographical references and index. 327 $aCOVER; CONTENTS; PREFACE; ABOUT THE AUTHOR; Chapter 1: BOND FUTURES CONTRACTS; 1.1 INTRODUCTION; 1.1.1 Contract specifications; 1.2 FUTURES PRICING; 1.2.1 Theoretical principle; 1.2.2 Arbitrage-free futures pricing; 1.3 HEDGING USING BOND FUTURES; 1.3.1 Introduction; 1.3.2 Hedging a bond portfolio; 1.3.3 The margin process; Appendix 1.A CONVERSION FACTOR FOR THE LONG GILT FUTURE; SELECTED BIBLIOGRAPHY; Chapter 2: THE GOVERNMENT BOND BASIS; 2.1 AN INTRODUCTION TO FORWARD PRICING; 2.1.1 Introduction; 2.1.2 Illustrating the forward bond basis; 2.2 FORWARDS AND FUTURES VALUATION 327 $a2.2.1 Introduction2.2.2 Forwards; 2.2.3 Futures; 2.2.4 Forwards and futures; 2.2.5 Relationship between forward and future price; 2.2.6 The forward-spot parity; 2.2.7 The basis and implied repo rate; 2.3 THE BOND BASIS: BASIC CONCEPTS; 2.3.1 Introduction; 2.3.2 Futures contract specifications; 2.3.3 The conversion factor; 2.3.4 The bond basis; 2.3.5 The net basis; 2.3.6 The implied repo rate; 2.4 SELECTING THE CHEAPESTTO- DELIVER BOND; 2.5 TRADING THE BASIS; 2.5.1 The basis position; 2.6 EXERCISES; SELECTED BIBLIOGRAPHY; Chapter 3: BASIS TRADING AND THE IMPLIED REPO RATE 327 $a3.1 ANALYSING THE BASIS3.1.1 No-arbitrage futures price; 3.1.2 Options embedded in bond futures contracts; 3.2 BOND DELIVERY FACTORS; 3.2.1 The cheapest-to-deliver; 3.2.2 Selecting delivery time; 3.2.3 Changes in CTD status; Appendix 3.A GENERAL RULES OF THE CTD BOND; Appendix 3.B A GENERAL MODEL OF THE CTD BOND; SELECTED BIBLIOGRAPHY; Chapter 4: THE FUNDAMENTALS OF BASIS TRADING; 4.1 RATES AND SPREAD HISTORY; 4.1.1 Net basis history; 4.1.2 The implied repo rate; 4.2 IMPACT OF THE REPO RATE; 4.2.1 The repo rate; 4.2.2 Short bond position squeeze; 4.3 BASIS TRADING MECHANICS 327 $a4.3.1 Using the conversion factor4.3.2 Trading profit and loss; 4.4 TIMING THE BASIS TRADE USING THE IRR; 4.4.1 The implied repo rate (again); 4.4.2 The IRR across futures contracts: Bloomberg illustration; SELECTED BIBLIOGRAPHY; Appendix A: REPO FINANCING AND THE CONCEPT OF THE 'SPECIAL'; A.1 CLASSIC REPO; A.2 BASKET REPO: ILLUSTRATION USING MALAYSIAN GOVERNMENT BONDS; A.3 SPECIAL BONDS IN REPO; Appendix B: RELATIVE VALUE ANALYSIS: BOND SPREADS; B.1 SWAP SPREAD AND TREASURY SPREAD; B.2 ASSET-SWAP SPREAD; B.3 Z-SPREAD; B.4 CASH-CDS BASIS; REFERENCES 327 $aAppendix C: LIFFE LONG GILT DELIVERY HISTORY (March 1996 to June 2001)GLOSSARY; ABBREVIATIONS; INDEX 330 $aThe 2nd edition of The Futures Bond Basis, is an updated and revised version of Professor Moorad Choudhry's succinct but in-depth look at the government bond futures contract basis. It includes essential background on contract specifications and the theory of the basis. It also covers the concept of the cheapest to deliver; price and delivery data for a sample of gilt contracts; the drivers of the basis and its dynamics; the mechanics of basis trading; a detailed explanation of gross and net basis, and an explanation of the implied repo rate. The book uses examples from the UK gilt market, alt 410 0$aSecurities Institute 606 $aBasis (Futures trading) 606 $aFutures 608 $aElectronic books. 615 0$aBasis (Futures trading) 615 0$aFutures. 676 $a332.6323 676 $a332.6328 700 $aChoudhry$b Moorad$0151558 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910143584603321 996 $aThe futures bond basis$92041663 997 $aUNINA