A01=Moorad Choudhry
Author_Moorad Choudhry
basic
basis
bond
book
Category=KFFM
concepts
determinants
elements
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
essential
features
former
forward
futures
government
hedging
important
interest
market
markets
part
proprietary
repo
trader
trading
type
Product details
- ISBN 9780470025895
- Weight: 369g
- Dimensions: 152 x 231mm
- Publication Date: 24 Mar 2006
- Publisher: John Wiley & Sons Inc
- Publication City/Country: US
- Product Form: Paperback
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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. 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.
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.
