Info
- Utilizzare la checkbox di selezione a fianco di ciascun documento per attivare le funzionalità di stampa, invio email, download nei formati disponibili del (i) record.
The futures bond basis [[electronic resource] /] / Moorad Choudhry
| The futures bond basis [[electronic resource] /] / Moorad Choudhry |
| Autore | Choudhry Moorad |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley, 2006 |
| Descrizione fisica | 1 online resource (257 p.) |
| Disciplina |
332.6323
332.6328 |
| Collana | Securities Institute |
| Soggetto topico |
Basis (Futures trading)
Futures |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-20842-4
1-280-73959-2 9786610739592 0-470-02946-3 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
COVER; 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
2.2.1 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 3.1 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 4.3.1 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 Appendix C: LIFFE LONG GILT DELIVERY HISTORY (March 1996 to June 2001)GLOSSARY; ABBREVIATIONS; INDEX |
| Record Nr. | UNINA-9910143584603321 |
Choudhry Moorad
|
||
| Chichester, England ; ; Hoboken, NJ, : John Wiley, 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The futures bond basis [[electronic resource] /] / Moorad Choudhry
| The futures bond basis [[electronic resource] /] / Moorad Choudhry |
| Autore | Choudhry Moorad |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley, 2006 |
| Descrizione fisica | 1 online resource (257 p.) |
| Disciplina |
332.6323
332.6328 |
| Collana | Securities Institute |
| Soggetto topico |
Basis (Futures trading)
Futures |
| ISBN |
1-119-20842-4
1-280-73959-2 9786610739592 0-470-02946-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
COVER; 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
2.2.1 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 3.1 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 4.3.1 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 Appendix C: LIFFE LONG GILT DELIVERY HISTORY (March 1996 to June 2001)GLOSSARY; ABBREVIATIONS; INDEX |
| Record Nr. | UNINA-9910830845803321 |
|
Choudhry Moorad
|
||
| Chichester, England ; ; Hoboken, NJ, : John Wiley, 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The futures bond basis / / Moorad Choudhry
| The futures bond basis / / Moorad Choudhry |
| Autore | Choudhry Moorad |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley, 2006 |
| Descrizione fisica | 1 online resource (257 p.) |
| Disciplina |
332.6323
332.6328 |
| Collana | Securities Institute |
| Soggetto topico |
Basis (Futures trading)
Futures |
| ISBN |
9786610739592
9781119208426 1119208424 9781280739590 1280739592 9780470029466 0470029463 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
COVER; 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
2.2.1 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 3.1 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 4.3.1 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 Appendix C: LIFFE LONG GILT DELIVERY HISTORY (March 1996 to June 2001)GLOSSARY; ABBREVIATIONS; INDEX |
| Record Nr. | UNINA-9911020254803321 |
|
Choudhry Moorad
|
||
| Chichester, England ; ; Hoboken, NJ, : John Wiley, 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
