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Welcome to the Algorithmic Trader's Association's tools and knowledge directory. Whether you're looking for algorithmic trading software to help you assess the market, or reference books, studies, or magazines to give you an extra edge, you can be sure these materials will help you stay ahead of the pack.

The Treasury Bond Basis

The Treasury Bond Basis

by Galen D. Burghardt and Terrence M. Belton

Author: host/Monday, October 28, 2013/Categories: Books, Bonds/Fixed Income

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This is the essential, updated guide to profiting and hedging using the 'basis,' from two top authorities on futures research. Since it was first published in 1989, "The Treasury Bond Basis" has grown to become a mandatory reference book for every professional trader of treasury bond and note futures. An insightful analysis of the complex relationship between the cash market and futures market for treasury bonds and notes, its information and influence have helped thousands of hedgers, speculators, and arbitrageurs to understand and profit from that relationship.The third edition of this indispensable reference reflects numerous changes in the market in the decade since the second edition, including: updated explanations of valuing the short's delivery alternatives; new discussions of global bond futures trading and applications for portfolio managers; and, new illustrations, examples, and case studies covering every aspect of the bond basis. In the two decades-plus since the introduction of bond futures, fluctuations in the T-bond basis have supplied consistent opportunities for hedgers and traders. "The Treasury Bond Basis" explores in detail how those opportunities have changed, and provides trading professionals with the updated knowledge and techniques to profit from, and manage exposure to, constantly occurring interest rate fluctuations.Securities dealers and financial institutions that buy, sell, or hold Treasury bonds and notes invariably participate in the futures market. The key to effectively managing positions in both the futures and cash markets lies in understanding the nature of the price differential between the futures price and prices of the underlying issues. This differential is the 'basis'. "The Treasury Bond Basis, Third Edition" provides a comprehensive and up-to-date analysis of the relationship between these two markets.While the basic outline of "The Treasury Bond Basis" remains unchanged, this seminal book has been expanded, updated, and substantially rewritten to reflect how treasuries are traded today, including: basic tools needed for understanding the bond basis, from futures contract specifications to sources of profit in a basis trade; a complete description of the short's strategic delivery options and how they can be valued; and, best alternatives for hedging with treasury futures, including creating synthetic bonds, option-adjusted DV01s, and more. This title includes: a menu of basis trades, including selling expensive bases, buying cheap bases, buying or selling 'hot-run' bases, trading the calendar spread, and trading RP special effects; and, strategies for putting together volatility arbitrage trades when futures seem to be mispriced. Nine eras of the bond basis that have shaped both its pricing and the ways the contract is used. An introduction to key non-dollar futures contracts - how they are structured, how they relate to respective cash markets, and trading themes in European markets is presented.This book contains applications for using futures to manage duration and yield curve exposure and enhance returns on bond portfolios. Long valued as the essential reference on treasury futures, "The Treasury Bond Basis" continues to provide investment and risk managers, institutional investors, securities dealers, and arbitrageurs with a clear and concise framework of the concepts and mechanisms underlying the treasury bond basis.

 


Publisher: McGraw-Hill Higher Ed.

Publish date: 2005-07-01

Edition: 3rd

Format: Hb

Pages: 320

Isbn: 0071456104

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TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS
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