The Futures Bond Basis 2e
Book Details
Format
Paperback / Softback
Book Series
Securities Institute
ISBN-10
0470025891
ISBN-13
9780470025895
Publisher
John Wiley & Sons Inc
Imprint
John Wiley & Sons Inc
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Mar 24th, 2006
Print length
256 Pages
Weight
374 grams
Dimensions
22.80 x 15.30 x 1.90 cms
Product Classification:
Investment & securitiesInvestment and securities
Ksh 6,100.00
Werezi Extended Catalogue
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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.
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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