Description
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.
About the Author
Dr Moorad Choudhry is Head of Treasury at KBC Financial Products in London. He is a Visiting Professor at the Department of Economics, London Metropolitan University, a Visiting Research Fellow at the ICMA Centre, University of Reading, a Senior Fellow at the Department of Mathematical Trading and Finance, Cass Business School, and a Fellow of the Securities and Investment Institute.
Book Information
ISBN 9780470025895
Author Moorad Choudhry
Format Paperback
Page Count 256
Imprint John Wiley & Sons Inc
Publisher John Wiley & Sons Inc
Weight(grams) 369g
Dimensions(mm) 231mm * 152mm * 19mm
About the Author
Dr Moorad Choudhry is Head of Treasury at KBC Financial Products in London. He is a Visiting Professor at the Department of Economics, London Metropolitan University, a Visiting Research Fellow at the ICMA Centre, University of Reading, a Senior Fellow at the Department of Mathematical Trading and Finance, Cass Business School, and a Fellow of the Securities and Investment Institute.
Book Information
ISBN 9780470025895
Author Moorad Choudhry
Format Paperback
Page Count 256
Imprint John Wiley & Sons Inc
Publisher John Wiley & Sons Inc
Weight(grams) 369g
Dimensions(mm) 231mm * 152mm * 19mm
