The Futures Bond Basis

Business & Economics / By /
The Futures Bond Basis

Author: Moorad Choudhry

Publisher: John Wiley & Sons

ISBN: 9780470029466

Category: Business & Economics

Page: 256

View: 953

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.

The Futures Bond Basis, Second Edition

Business enterprises / By /
The Futures Bond Basis, Second Edition

Author: Moorad Choudhry

Publisher:

ISBN: OCLC:1103556078

Category: Business enterprises

Page: 256

View: 365

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.

The Treasury Bond Basis

Futures / By /
The Treasury Bond Basis

Author: Galen Burghardt

Publisher: McGraw-Hill Companies

ISBN: UOM:35128001476231

Category: Futures

Page: 320

View: 102

The Treasury Bond Basis provides a comprehensive and detailed discussion of the relationship between the Treasury Bond market and Treasury bond futures. Vital information such as analysis of the basis relationship between shorter term Treasure securities and Treasury bill and note futures is all her

The European Bond Basis

Bonds / By /
The European Bond Basis

Author: Christopher Plona

Publisher: Irwin Professional Pub

ISBN: PSU:000043506668

Category: Bonds

Page: 490

View: 955

This outstanding resource provides a comprehensive and detailed discussion of the relationships between the various European bond markets and their respective bond futures contracts, called "the basis". It describes various analytical tools and approaches that professional traders and portfolio managers can utilize to meet their risk management and training needs.

The Handbook of Fixed Income Securities, Chapter 53 - Treasury Bond Futures Mechanics and Basis Valuation

Business & Economics / By /
The Handbook of Fixed Income Securities, Chapter 53 - Treasury Bond Futures Mechanics and Basis Valuation

Author: Frank Fabozzi

Publisher: McGraw Hill Professional

ISBN: 9780071715539

Category: Business & Economics

Page: 27

View: 399

From The Handbook of Fixed Income Securities--the most authoritative, widely read reference in the global fixed income marketplace--comes this sample chapter. This comprehensive survey of current knowledge features contributions from leading academics and practitioners and is not equaled by any other single sourcebook. Now, the thoroughly revised and updated seventh edition gives you the facts and formulas you need to compete in today's transformed marketplace. It places increased emphasis on applications, electronic trading, and global portfolio management.

Trading and Investing in Bond Options

Business & Economics / By /
Trading and Investing in Bond Options

Author: M. Anthony Wong

Publisher: John Wiley & Sons

ISBN: 047152560X

Category: Business & Economics

Page: 318

View: 658

To become successful in the bond options market, it is important for professionals to gain a basic, yet thorough understanding of how options are priced, traded, and used in interest-rate risk and fixed-income portfolio management. Provides practical answers to questions that new participants will ask as they become more sophisticated in the bond option market. It describes the U.S. government bond options markets and discusses how options pricing and computer technologies are used in market-making, strategic trading, and value investing. After introducing standard options terminology, it provides background data on U.S. Treasury bonds, bond options pricing models, advanced pricing models, the fundamentals of bond options dealing, strategies driven by interest rate forecasts, the most widely used structured portfolio strategies involving options, and more.

Valuing Fixed Income Futures

Business & Economics / By /
Valuing Fixed Income Futures

Author: David Boberski

Publisher: McGraw Hill Professional

ISBN: 9780071475419

Category: Business & Economics

Page: 265

View: 557

"This book is a practical resource that equips financial professionals with a means of measuring the performance of Treasury and Eurodollar futures. This reference explains how to apply technology to develop empirical frameworks for solving embedded option valuation in Treasury and Eurodollar futures. David Boberski shows in detail how to build empirical models to measure risk ... the drivers of Treasury/Eurodollar spread ... and more. Filled with scores of financial tables, charts, and figures, this complete valuation tool provides definitions of the entire range of fixed income futures terms, plus in-depth guidance for applying all models and methods."--BOOK JACKET.

The Front Office Manual

Business & Economics / By /
The Front Office Manual

Author: A. Sutherland

Publisher: Springer

ISBN: 9781137030696

Category: Business & Economics

Page: 297

View: 395

The Front Office Manual is unique, providing clear and direct explanations of tools and techniques relevant to front office work. From how to build a yield curve, to how a swap works, to what exactly 'product control' is supposed to do, this book is essential reading for anyone who works (or wants to work) on the 'sell side'.

Trading the Fixed Income, Inflation and Credit Markets

Business & Economics / By /
Trading the Fixed Income, Inflation and Credit Markets

Author: Neil C. Schofield

Publisher: John Wiley & Sons

ISBN: 9780470742297

Category: Business & Economics

Page: 325

View: 724

Trading the Fixed Income, Inflation and Credit Markets is a comprehensive guide to the most popular strategies that are used in the wholesale financial markets, answering the question: what is the optimal way to express a view on expected market movements? This relatively unique approach to relative value highlights the pricing links between the different products and how these relationships can be used as the basis for a number of trading strategies. The book begins by looking at the main derivative products and their pricing interrelationships. It shows that within any asset class there are mathematical relationships that tie together four key building blocks: cash products, forwards/futures, swaps and options. The nature of these interrelationships means that there may be a variety of different ways in which a particular strategy can be expressed. It then moves on to relative value within a fixed income context and looks at strategies that build on the pricing relationships between products as well as those that focus on how to identify the optimal way to express a view on the movement of the yield curve. It concludes by taking the main themes of relative value and showing how they can be applied within other asset classes. Although the main focus is fixed income the book does cover multiple asset classes including credit and inflation. Written from a practitioner's perspective, the book illustrates how the products are used by including many worked examples and a number of screenshots to ensure that the content is as practical and applied as possible.

Key Financial Market Concepts

Business & Economics / By /
Key Financial Market Concepts

Author: Bob Steiner

Publisher: Pearson UK

ISBN: 9780273750284

Category: Business & Economics

Page: 347

View: 841

Key Financial Market Concepts is the ultimate reference tool for anyone working in the finance industry, explaining the 100 essential financial market terms. It provides you with a definition of what each concept is, how it works, when it is likely to arise, how it’s calculated and how best to use it. You’ll also get access to many of the formulas used, already programmed into a Microsoft Excel spreadsheet. From simple and compound interest, through to bonds and yields and the Black and Scholes model, this book has it covered.

Options Explained2

Business & Economics / By /
Options Explained2

Author: Robert Tompkins

Publisher: Springer

ISBN: 9781349136360

Category: Business & Economics

Page: 597

View: 509

Unlike most books on derivative products, Options Explained 2 is a practical guide, covering theoretical concepts only where they are essential to applying options on a wide variety of assets. Written with the emphasis on a practical, straightforward approach, Options Explained succeeds in demystifying what has traditionally been treated as a highly complex product. The second edition also includes over 100 pages of new material, with sections on exotic options, worldwide accounting practices and issues in volatility estimation.