Title: The treasury bond basis : an in-depth analysis for hedgers, speculators, and arbitrageurs /
Authors: Burghardt, Galen.; Burghardt, Galen.
Publisher: McGraw-Hill,
Year: 2005
Subjects: Hedging (Finance); Government securities United States.; Futures United States
Abstract: "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."
Contents: Basic concepts -- What drives the basis? -- The short's strategic delivery options -- The option-adjusted basis -- Approaches to hedging -- Trading the basis -- Volatility arbitrage in the treasury bond basis -- Nine eras of the bond basis -- Non-dollar government bond futures -- Applications for portfolio managers.