InhaltsangabePreface.About the author.1 BOND FUTURES CONTRACTS.1.1 Introduction.1.1.1 Contract specifications.1.2 Futures pricing.1.2.1 Theoretical principle.1.2.2 Arbitrage-free futures … Más…
InhaltsangabePreface.About the author.1 BOND FUTURES CONTRACTS.1.1 Introduction.1.1.1 Contract specifications.1.2 Futures pricing.1.2.1 Theoretical principle.1.2.2 Arbitrage-free futures pricing.1.3 Hedging using bond futures.1.3.1 Introduction.1.3.2 Hedging a bond portfolio.1.3.3 The margin process.1.A Conversion factor for the long gilt future.Selected bibliography.2 THE GOVERNMENT BOND BASIS.2.1 An introduction to forward pricing.2.1.1 Introduction.2.1.2 Illustrating the forward bond basis.2.2 Forwards and futures valuation.2.2.1 Introduction.2.2.2 Forwards.2.2.3 Futures.2.2.4 Forwards and futures.2.2.5 Relationship between forward and future price.2.2.6 The forward– spot parity.2.2.7 The basis and implied repo rate.2.3 The bond basis: basic concepts.2.3.1 Introduction.2.3.2 Futures contract specifications.2.3.3 The conversion factor.2.3.4 The bond basis.2.3.5 The net basis.2.3.6 The implied repo rate.2.4 Selecting the cheapest-to-deliver bond.2.5 Trading the basis.2.5.1 The basis position.2.6 Exercises.Selected bibliography.3 BASIS TRADING AND THE IMPLIED REPO RATE.3.1 Analysing the basis.3.1.1 No-arbitrage futures price.3.1.2 Options embedded in bond futures contracts.3.2 Bond delivery factors.3.2.1 The cheapest-to-deliver.3.2.2 Selecting delivery time.3.2.3 Changes in CTD status.3.A General rules of the CTD bond.3.B A general model of the CTD bond.Selected bibliography.4 THE FUNDAMENTALS OF BASIS TRADING.4.1 Rates and spread history.4.1.1 Net basis history.4.1.2 The implied repo rate.4.2 Impact of the repo rate.4.2.1 The repo rate.4.2.2 Short bond position squeeze.4.3 Basis trading mechanics.4.3.1 Using the conversion factor.4.3.2 Trading profit and loss.4.4 Timing the basis trade using the IRR.4.4.1 The implied repo rate (again).4.4.2 The IRR across futures contracts: Bloomberg illustration.Selected bibliography.Appendices.A REPO FINANCING AND THE CONCEPT OF THE ‘ SPECIAL’ .A.1 Classic repo.A.2 Basket repo: Illustration using Malaysian government bonds.A.3 Special bonds in repo.B RELATIVE VALUE ANALYSIS: BOND SPREADS.B.1 Swap spread and Treasury spread.B.2 Asset– swap spread.B.3 Z-Spread.B.4 Cash– CDS basis.References.C LIFFE LONG GILT DELIVERY HISTORY, MARCH 1996 TO JUNE 2001.Glossary.List of abbreviations.Index. The Futures Bond Basis: InhaltsangabePreface.About the author.1 BOND FUTURES CONTRACTS.1.1 Introduction.1.1.1 Contract specifications.1.2 Futures pricing.1.2.1 Theoretical principle.1.2.2 Arbitrage-free futures pricing.1.3 Hedging using bond futures.1.3.1 Introduction.1.3.2 Hedging a bond portfolio.1.3.3 The margin process.1.A Conversion factor for the long gilt future.Selected bibliography.2 THE GOVERNMENT BOND BASIS.2.1 An introduction to forward pricing.2.1.1 Introduction.2.1.2 Illustrating the forward bond basis.2.2 Forwards and futures valuation.2.2.1 Introduction.2.2.2 Forwards.2.2.3 Futures.2.2.4 Forwards and futures.2.2.5 Relationship between forward and future price.2.2.6 The forward– spot parity.2.2.7 The basis and implied repo rate.2.3 The bond basis: basic concepts.2.3.1 Introduction.2.3.2 Futures contract specifications.2.3.3 The conversion factor.2.3.4 The bond basis.2.3.5 The net basis.2.3.6 The implied repo rate.2.4 Selecting the cheapest-to-deliver bond.2.5 Trading the basis.2.5.1 The basis position.2.6 Exercises.Selected bibliography.3 BASIS TRADING AND THE IMPLIED REPO RATE.3.1 Analysing the basis.3.1.1 No-arbitrage futures price.3.1.2 Options embedded in bond futures contracts.3.2 Bond delivery factors.3.2.1 The cheapest-to-deliver.3.2.2 Selecting delivery time.3.2.3 Changes in CTD status.3.A General rules of the CTD bond.3.B A general model of the CTD bond.Selected bibliography.4 THE FUNDAMENTALS OF BASIS TRADING.4.1 Rates and spread history.4.1.1 Net basis history.4.1.2 The implied repo rate.4.2 Impact of the repo rate.4.2.1 The repo rate.4.2.2 Short bond position squeeze.4.3 Basis trading mechanics.4.3.1 Using the conversion factor.4.3.2 Trading profit and loss.4.4 Timing the basis trade using the IRR.4.4.1 The implied repo rate (again).4.4.2 The IRR across futures contracts: Bloomberg illustration.Selected bibliography.Appendices.A REPO FINANCING AND THE CONCEPT OF THE ‘ SPECIAL’ .A.1 Classic repo.A.2 Basket repo: Illustration using Malaysian government bonds.A.3 Special bonds in repo.B RELATIVE VALUE ANALYSIS: BOND SPREADS.B.1 Swap spread and Treasury spread.B.2 Asset– swap spread.B.3 Z-Spread.B.4 Cash– CDS basis.References.C LIFFE LONG GILT DELIVERY HISTORY, MARCH 1996 TO JUNE 2001.Glossary.List of abbreviations.Index. Finance & Investments Finanz- u. Anlagewesen Termingeschäft, John Wiley & Sons<
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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 in… Más…
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. eBook Moorad Choudhry PDF, John Wiley & Sons Inc, 11.01.2007, John Wiley & Sons Inc, 2007<
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(*) Libro agotado significa que este título no está disponible por el momento en alguna de las plataformas asociadas que buscamos.
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 inc… Más…
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.; PDF; Business,Finance and Law > Finance & accounting > Finance, Wiley<
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(*) Libro agotado significa que este título no está disponible por el momento en alguna de las plataformas asociadas que buscamos.
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 inc… Más…
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.; PDF; Business,Finance and Law > Finance & accounting, Wiley<
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No. 9780470029466. Gastos de envío:Instock, Despatched same working day before 3pm, zzgl. Versandkosten., más gastos de envío Details...
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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 inc… Más…
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.; PDF; Business,Finance and Law > Finance & accounting, Wiley<
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No. 9780470029466. Gastos de envío:Instock, Despatched same working day before 3pm, zzgl. Versandkosten., más gastos de envío Details...
(*) Libro agotado significa que este título no está disponible por el momento en alguna de las plataformas asociadas que buscamos.
InhaltsangabePreface.About the author.1 BOND FUTURES CONTRACTS.1.1 Introduction.1.1.1 Contract specifications.1.2 Futures pricing.1.2.1 Theoretical principle.1.2.2 Arbitrage-free futures … Más…
InhaltsangabePreface.About the author.1 BOND FUTURES CONTRACTS.1.1 Introduction.1.1.1 Contract specifications.1.2 Futures pricing.1.2.1 Theoretical principle.1.2.2 Arbitrage-free futures pricing.1.3 Hedging using bond futures.1.3.1 Introduction.1.3.2 Hedging a bond portfolio.1.3.3 The margin process.1.A Conversion factor for the long gilt future.Selected bibliography.2 THE GOVERNMENT BOND BASIS.2.1 An introduction to forward pricing.2.1.1 Introduction.2.1.2 Illustrating the forward bond basis.2.2 Forwards and futures valuation.2.2.1 Introduction.2.2.2 Forwards.2.2.3 Futures.2.2.4 Forwards and futures.2.2.5 Relationship between forward and future price.2.2.6 The forward– spot parity.2.2.7 The basis and implied repo rate.2.3 The bond basis: basic concepts.2.3.1 Introduction.2.3.2 Futures contract specifications.2.3.3 The conversion factor.2.3.4 The bond basis.2.3.5 The net basis.2.3.6 The implied repo rate.2.4 Selecting the cheapest-to-deliver bond.2.5 Trading the basis.2.5.1 The basis position.2.6 Exercises.Selected bibliography.3 BASIS TRADING AND THE IMPLIED REPO RATE.3.1 Analysing the basis.3.1.1 No-arbitrage futures price.3.1.2 Options embedded in bond futures contracts.3.2 Bond delivery factors.3.2.1 The cheapest-to-deliver.3.2.2 Selecting delivery time.3.2.3 Changes in CTD status.3.A General rules of the CTD bond.3.B A general model of the CTD bond.Selected bibliography.4 THE FUNDAMENTALS OF BASIS TRADING.4.1 Rates and spread history.4.1.1 Net basis history.4.1.2 The implied repo rate.4.2 Impact of the repo rate.4.2.1 The repo rate.4.2.2 Short bond position squeeze.4.3 Basis trading mechanics.4.3.1 Using the conversion factor.4.3.2 Trading profit and loss.4.4 Timing the basis trade using the IRR.4.4.1 The implied repo rate (again).4.4.2 The IRR across futures contracts: Bloomberg illustration.Selected bibliography.Appendices.A REPO FINANCING AND THE CONCEPT OF THE ‘ SPECIAL’ .A.1 Classic repo.A.2 Basket repo: Illustration using Malaysian government bonds.A.3 Special bonds in repo.B RELATIVE VALUE ANALYSIS: BOND SPREADS.B.1 Swap spread and Treasury spread.B.2 Asset– swap spread.B.3 Z-Spread.B.4 Cash– CDS basis.References.C LIFFE LONG GILT DELIVERY HISTORY, MARCH 1996 TO JUNE 2001.Glossary.List of abbreviations.Index. The Futures Bond Basis: InhaltsangabePreface.About the author.1 BOND FUTURES CONTRACTS.1.1 Introduction.1.1.1 Contract specifications.1.2 Futures pricing.1.2.1 Theoretical principle.1.2.2 Arbitrage-free futures pricing.1.3 Hedging using bond futures.1.3.1 Introduction.1.3.2 Hedging a bond portfolio.1.3.3 The margin process.1.A Conversion factor for the long gilt future.Selected bibliography.2 THE GOVERNMENT BOND BASIS.2.1 An introduction to forward pricing.2.1.1 Introduction.2.1.2 Illustrating the forward bond basis.2.2 Forwards and futures valuation.2.2.1 Introduction.2.2.2 Forwards.2.2.3 Futures.2.2.4 Forwards and futures.2.2.5 Relationship between forward and future price.2.2.6 The forward– spot parity.2.2.7 The basis and implied repo rate.2.3 The bond basis: basic concepts.2.3.1 Introduction.2.3.2 Futures contract specifications.2.3.3 The conversion factor.2.3.4 The bond basis.2.3.5 The net basis.2.3.6 The implied repo rate.2.4 Selecting the cheapest-to-deliver bond.2.5 Trading the basis.2.5.1 The basis position.2.6 Exercises.Selected bibliography.3 BASIS TRADING AND THE IMPLIED REPO RATE.3.1 Analysing the basis.3.1.1 No-arbitrage futures price.3.1.2 Options embedded in bond futures contracts.3.2 Bond delivery factors.3.2.1 The cheapest-to-deliver.3.2.2 Selecting delivery time.3.2.3 Changes in CTD status.3.A General rules of the CTD bond.3.B A general model of the CTD bond.Selected bibliography.4 THE FUNDAMENTALS OF BASIS TRADING.4.1 Rates and spread history.4.1.1 Net basis history.4.1.2 The implied repo rate.4.2 Impact of the repo rate.4.2.1 The repo rate.4.2.2 Short bond position squeeze.4.3 Basis trading mechanics.4.3.1 Using the conversion factor.4.3.2 Trading profit and loss.4.4 Timing the basis trade using the IRR.4.4.1 The implied repo rate (again).4.4.2 The IRR across futures contracts: Bloomberg illustration.Selected bibliography.Appendices.A REPO FINANCING AND THE CONCEPT OF THE ‘ SPECIAL’ .A.1 Classic repo.A.2 Basket repo: Illustration using Malaysian government bonds.A.3 Special bonds in repo.B RELATIVE VALUE ANALYSIS: BOND SPREADS.B.1 Swap spread and Treasury spread.B.2 Asset– swap spread.B.3 Z-Spread.B.4 Cash– CDS basis.References.C LIFFE LONG GILT DELIVERY HISTORY, MARCH 1996 TO JUNE 2001.Glossary.List of abbreviations.Index. Finance & Investments Finanz- u. Anlagewesen Termingeschäft, John Wiley & Sons<
- Ebook, Englisch, Neuware Gastos de envío:Ab 20¤ Versandkostenfrei in Deutschland, Sofort lieferbar, DE. (EUR 0.00)
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 in… Más…
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. eBook Moorad Choudhry PDF, John Wiley & Sons Inc, 11.01.2007, John Wiley & Sons Inc, 2007<
Nr. 27990079. Gastos de envío:, Sofort per Download lieferbar, DE. (EUR 0.00)
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 inc… Más…
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.; PDF; Business,Finance and Law > Finance & accounting > Finance, Wiley<
No. 9780470029466. Gastos de envío:Instock, Despatched same working day before 3pm, zzgl. Versandkosten., más gastos de envío
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 inc… Más…
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.; PDF; Business,Finance and Law > Finance & accounting, Wiley<
No. 9780470029466. Gastos de envío:Instock, Despatched same working day before 3pm, zzgl. Versandkosten., más gastos de envío
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 inc… Más…
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.; PDF; Business,Finance and Law > Finance & accounting, Wiley<
No. 9780470029466. Gastos de envío:Instock, Despatched same working day before 3pm, zzgl. Versandkosten., más gastos de envío
1Dado que algunas plataformas no nos comunican las condiciones de envío y éstas pueden depender del país de entrega, del precio de compra, del peso y tamaño del artículo, de una posible membresía a la plataforma, de una entrega directa por parte de la plataforma o a través de un tercero (Marketplace), etc., es posible que los gastos de envío indicados por eurolibro/terralibro no concuerden con los de la plataforma ofertante.
EAN (ISBN-13): 9780470029466 ISBN (ISBN-10): 0470029463 Año de publicación: 2007 Editorial: Wiley, J 256 Páginas Idioma: eng/Englisch
Libro en la base de datos desde 2009-07-14T18:09:47-05:00 (Mexico City) Página de detalles modificada por última vez el 2023-03-16T11:03:58-06:00 (Mexico City) ISBN/EAN: 9780470029466
ISBN - escritura alterna: 0-470-02946-3, 978-0-470-02946-6 Mode alterno de escritura y términos de búsqueda relacionados: Autor del libro: ackerman, henderson Título del libro: futures basis
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