Contenu
Basis trading is an important part of the government bond markets. In this book we review the essential elements of this type of trading. Written by a former government bond market maker and proprietary bond trader, the book features: * Basic concepts of forward pricing * The determinants of the basis * Repo financing * Hedging using bond futures * Trading the basis and an introduction to trading strategy * The concept of the cheapest-to-deliver bond * The net basis and the implied repo rate The book is illustrated with in-depth practical examples and written in an accessible style. It will be of vital use to anyone with an interest or involvement in the government bond futures market.