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The Futures Bond Basis

Wiley, J,
E-Book ( PDF mit Adobe DRM )
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Kurzbeschreibung

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.

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Autor

Titel: The Futures Bond Basis
Autoren/Herausgeber: Moorad Choudhry
Aus der Reihe: Securities and Investment Institute
Ausgabe: 2. Auflage

ISBN/EAN: 9780470029466

Seitenzahl: 256
Produktform: E-Book
Sprache: Englisch

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.

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