The Futures Bond Basis Second Edition

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.

The Futures Bond Basis  Second Edition

Author: Moorad Choudhry

Publisher:

ISBN:

Page: 256

View: 182

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.

The Futures Bond Basis

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.

The Futures Bond Basis

Author: Moorad Choudhry

Publisher: John Wiley & Sons

ISBN: 0470029463

Page: 256

View: 312

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.

The Treasury Bond Basis

This revised edition of The Treasury Bond Basis by Galen D. Burghardt and Terry Belton provides a comprehensive analysis of the relationship between the cash market and futures market for Treasury bonds and notes, including an expanded ...

The Treasury Bond Basis

Author: Galen D. Burghardt

Publisher: McGraw-Hill Companies

ISBN:

Page: 288

View: 758

The Treasury Bond Basis provides a comprehensive and detailed discussion of the relationship between the Treasury Bond market and Treasury bond futures. Vital information such as analysis of the basis relationship between shorter term Treasure securities and Treasury bill and note futures is all here in one source. In-depth coverage includes: The forces that influence the basis; Practical considerations associated with the basis; Basis-related strategies; Strategies to enhance treasury bond yields.

The Treasury Bond Basis

While the basic outline of The Treasury Bond Basis remains unchanged, this seminal book has been expanded, updated, and substantially rewritten to reflect how Treasuries are traded today, including: Basic tools needed for understanding the ...

The Treasury Bond Basis

Author: Galen Burghardt

Publisher: McGraw-Hill

ISBN: 9780071456104

Page: 320

View: 572

Now in its third edition, The Treasury Bond Basis is the mandatory reference text for Treasury bond and note futures trading rooms around the world. This updated edition reflects the numerous market changes, chief among them the Chicago Board of Trade’s decision to switch from an 8 percent to a 6 percent conversion factor. Revisions include greater detail on hedging and trading, updated explanations of options valuation and short delivery options, and discussion of global bonds futures trading and applications.

The European Bond Basis

" Understanding the basis relationship is crucial to the successful utilization of these valuable instruments. The European Bond Basis covers all the major European Markets, including the U.K., France, Germany, Italy, and Belgium.

The European Bond Basis

Author: Christopher Plona

Publisher: Irwin Professional Pub

ISBN:

Page: 445

View: 451

Tremendous growth in the trading of European bonds in U.S. markets has captured the attention of thousands of institutional investors, portfolio managers, futures, options, and bond traders. This outstanding resource provides a comprehensive and detailed discussion of the relationships between the various European bond markets and their respective bond futures contracts, called "the basis." Understanding the basis relationship is crucial to the successful utilization of these valuable instruments. The European Bond Basis covers all the major European Markets, including the U.K., France, Germany, Italy, and Belgium. It describes various analytical tools and approaches that professional traders and portfolio managers can utilize to meet their risk management and trading needs, and is sure to become the definitive reference to trading the European bond markets for U.S. fixed income professionals.

Gilt Edged Market

Basis trading, also known as cash-and-carry trading, refers to the activity of
simultaneously trading cash bonds and the related bond futures contract. An
open repo market is essential for the smooth operation of basis trading. Most
futures ...

Gilt Edged Market

Author: Moorad Choudhry

Publisher: Elsevier

ISBN: 0080472869

Page: 288

View: 152

The Gilt-Edged Market is specifically aimed at finance professionals and investors who need to understand the inner working of the United Kingdom gilt market. There is detailed coverage of the different gilt instruments, as well as a look at the structures, institutions and practices of the market itself. Topics include: * Bond basics * Conventional gilts * Index-linked gilts * Gilt strips * The gilt repo market * The gilt bond future basis * Yield spread trading using gilts There are also personal reminiscenes that illustrate the great changes that have occurred in this market since Big Bang, as well as an exposition on the art of trading. The Gilt-Edged Market is ideal reading for traders, salespersons, fund managers, private investors and other professionals involved to any extent in the UK gilt market. * The latest research on index-linked gilts, gilt markets and sterling debt markets presented in an enthusiastic, readable style * Written by gilt-edged market makers and dealers to ensure realistic, practical coverage as well as a clear explanation of the theory, so readers gain from years' experience * Foreword written by Mike Williams, CEO of the Debt Management Office

The Moorad Choudhry Anthology Website

Past, Present and Future Principles of Banking and Finance Moorad Choudhry.
This extract from The Futures Bond Basis, Second Edition (2006). The. Bond.
Basis: Basic. Concepts. 2.3. THE. BOND. BASIS: BASIC. CONCEPTS. 2.3.1.

The Moorad Choudhry Anthology    Website

Author: Moorad Choudhry

Publisher: John Wiley & Sons

ISBN: 1118779738

Page: 1328

View: 875

The definitive and timeless guide to the principles of banking and finance, addressing and meeting the challenges of competition, strategy, regulation and the digital age. Moorad Choudhry Anthology compiles the best of renowned author Professor Moorad Choudhry's incisive writings on financial markets and bank risk management, together with new material that reflects the legislative changes in the post-crisis world of finance and the impact of digitization and global competition. Covering the developments and principles of banking from the 1950s to today, this unique book outlines the author's recommended best practices in all aspects of bank strategy, governance and risk management, including asset-liability management, liquidity risk management, capital planning, Treasury risk, and corporate framework, and describes a "vision of the future" with respect to a sustainable bank business model. You will gain the insight of a global authority on topics essential to retail, corporate, and investment/wholesale banking, including strategy, risk appetite, funding policies, regulatory requirements, valuation, and much more. The companion website is a goldmine for senior practitioners that provides templates that can applied in virtually any bank, including policy documents, pricing models, committee terms of reference, teaching aids and learning tools including PowerPoint slides and spreadsheet models. These facilitate a deeper understanding of the subject and the requirements of the senior executive, making this book an ideal companion for practitioners, graduate students and professional students alike. The intense demand for knowledge and expertise in asset-liability management, liquidity, and capital management has been driven by the regulatory challenges of Basel III, the European Union’s CRDIV, the Volcker Rule, Dodd-Frank Act, and a myriad of other new regulations. This book meets that need by providing you with a complete background and modern insight on every aspect of bank risk management. Re-engage with timeless principles of finance that apply in every market and which are the drivers of principles of risk management Learn strategic asset liability management practices that suit today's economic environment Adopt new best practices for liquidity models and choosing the appropriate liquidity risk management framework Examine optimum capital and funding model recommendations for corporate, retail, and investment/wholesale banks Dig deeper into derivatives risk management, balance sheet capital management, funding policy, and more Apply best-practice corporate governance frameworks that ensure a perpetual and viable robust balance sheet Adopt strategy formulation principles that reflect the long-term imperative of the banking business In the 21st century more than ever banks need to "re-learn" traditional risk management principles and apply them every day. Every bank in the world needs to be up to speed on these issues, and Anthology from Professor Moorad Choudhry is the answer to this new global policy response.

The Handbook of Fixed Income Securities Chapter 53 Treasury Bond Futures Mechanics and Basis Valuation

From The Handbook of Fixed Income Securities--the most authoritative, widely read reference in the global fixed income marketplace--comes this sample chapter.

The Handbook of Fixed Income Securities  Chapter 53   Treasury Bond Futures Mechanics and Basis Valuation

Author: Frank Fabozzi

Publisher: McGraw Hill Professional

ISBN: 0071715533

Page: 26

View: 567

From The Handbook of Fixed Income Securities--the most authoritative, widely read reference in the global fixed income marketplace--comes this sample chapter. This comprehensive survey of current knowledge features contributions from leading academics and practitioners and is not equaled by any other single sourcebook. Now, the thoroughly revised and updated seventh edition gives you the facts and formulas you need to compete in today's transformed marketplace. It places increased emphasis on applications, electronic trading, and global portfolio management.

An Introduction to Bond Markets

The product of the conversion factor and the futures price is the forward price
available in the futures market for that cash bond (plus the cost of funding,
referred to as the gross basis). Although conversion factors equalise the yield on
bonds, ...

An Introduction to Bond Markets

Author: Moorad Choudhry

Publisher: John Wiley & Sons

ISBN: 0470976284

Page: 472

View: 349

The bond markets are a vital part of the world economy. The fourth edition of Professor Moorad Choudhry's benchmark reference text An Introduction to Bond Markets brings readers up to date with latest developments and market practice, including the impact of the financial crisis and issues of relevance for investors. This book offers a detailed yet accessible look at bond instruments, and is aimed specifically at newcomers to the market or those unfamiliar with modern fixed income products. The author capitalises on his wealth of experience in the fixed income markets to present this concise yet in-depth coverage of bonds and associated derivatives. Topics covered include: Bond pricing and yield Duration and convexity Eurobonds and convertible bonds Structured finance securities Interest-rate derivatives Credit derivatives Relative value trading Related topics such as the money markets and principles of risk management are also introduced as necessary background for students and practitioners. The book is essential reading for all those who require an introduction to the financial markets.

STIR Futures

The Treasury Bond Basis Galen Burghardt and Terry Belton (McGraw-Hill)
Seminal text for bond basis trading. Good sections on bond futures but aimed
solely at US market. The Futures Bond Basis Moorad Choudhry (Securities
Institute) ...

STIR Futures

Author: Stephen Aikin

Publisher: Harriman House Limited

ISBN: 0857192655

Page: 280

View: 376

Short term interest rate futures (STIR futures) are one of the largest financial markets in the world. The two main contracts, the Eurodollar and Euribor, regularly trade in excess of one trillion dollars and euros of US and European interest rates each day. STIR futures are also unique because their structure encourages spread and strategy trading, offering a risk reward profile incomparable to other financial markets. STIR futures are traded on a completely electronic market place that provides a level playing field, meaning that the individual can compete on exactly the same terms as banks and institutions. The sheer number of trading permutations allows traders to find their own niche. 'STIR Futures' is a handbook to the STIR futures markets, clearly explaining what they are, how they can be traded, and where the profit opportunities are. The book has been written for aspiring traders and also for experienced traders looking for new markets. This book offers a unique look at a significant but often overlooked financial instrument. By focusing exclusively on this market, the author provides a comprehensive guide to trading STIR futures. He covers key points such as how STIR futures are priced, the need to understand what is driving the markets and causing the price action, and provides in-depth detail and trading examples of the intra-contract spread market and cross-market trading opportunities of trading STIR futures against other financial products. An essential read for anyone involved in this market.

Fixed Income Securities

For ease of exposition, it is now assumed that all basis positions are properly
tailed so that the text can treat a futures ... Given the tail adjustment, the P&L on
the delivery date from a long basis trade in bond iinitiated at time t and taken off
at ...

Fixed Income Securities

Author: Bruce Tuckman

Publisher: John Wiley & Sons

ISBN: 1118133994

Page: 656

View: 801

Fixed income practitioners need to understand the conceptualframeworks of their field; to master its quantitative tool-kit; andto be well-versed in its cash-flow and pricing conventions.Fixed Income Securities, Third Edition by Bruce Tuckman andAngel Serrat is designed to balance these three objectives. Thebook presents theory without unnecessary abstraction; quantitativetechniques with a minimum of mathematics; and conventions at auseful level of detail. The book begins with an overview of global fixed income marketsand continues with the fundamentals, namely, arbitrage pricing,interest rates, risk metrics, and term structure models to pricecontingent claims. Subsequent chapters cover individual markets andsecurities: repo, rate and bond forwards and futures, interest rateand basis swaps, credit markets, fixed income options, andmortgage-backed-securities. Fixed Income Securities, Third Edition is full ofexamples, applications, and case studies. Practically everyquantitative concept is illustrated through real market data. Thispractice-oriented approach makes the book particularly useful forthe working professional. This third edition is a considerable revision and expansion ofthe second. Most examples have been updated. The chapters on fixedincome options and mortgage-backed securities have beenconsiderably expanded to include a broader range of securities andvaluation methodologies. Also, three new chapters have been added:the global overview of fixed income markets; a chapter on corporatebonds and credit default swaps; and a chapter on discounting withbases, which is the foundation for the relatively recent practiceof discounting swap cash flows with curves based on money marketrates. This university edition includes problems which students canuse to test and enhance their understanding of the text.

The Strategic Bond Investor

The Bond Basis Another way to track the quality of a market move is to track the
bond basis . The bond basis is defined as the difference between the cash price
and the converted futures price . The cash price is simply the price of the cash ...

The Strategic Bond Investor

Author: Anthony Crescenzi

Publisher: McGraw Hill Professional

ISBN: 9780071387071

Page: 397

View: 722

A dynamic, equity-style approach to investing in today's bond market "Tony Crescenzi knows bonds and his book proves it. From 'Fedspeak' to Treasury buybacks, The Strategic Bond Investor helps to explain the mysteries of the bond market and even offers tips on how to forecast interest rates. Sign me up—I can always learn something new!"—Bill Gross, Managing Director at Pacific Investment Management Company Bond investing can be every bit as exciting and profitable as "playing the stock market." The Strategic Bond Investor is the first book to approach fixed-income investing from an equity-style perspective. This fast-paced book provides readers with helpful tips, tools, and strategies for tracking market sentiment, spotting market extremes, analyzing volume and liquidity, and dozens of other techniques that were­­up until now­­limited primarily to the equity markets. The Strategic Bond Investor reveals a dramatic new approach for using bonds to balance portfolios while grabbing profit opportunities as they present themselves. It represents a new style of bond investing, bold yet risk-conscious, that is long overdue for today's transformed market environment. Investors looking to diversify their portfolios will discover: Key economic releases and how they influence bond prices Popular fixed-income portfolio management strategies Best-performing bonds in a variety of economic circumstances

The Repo Handbook

Bond. Basis•. Basis. Trading. and. the. lmplied. Repo. Rate. ll. 1n this chapter we
look in more detail at some fundamentals hehind the hasis, including the factors
that drive its hehaviour, and we also consider implications of the short future's ...

The Repo Handbook

Author: Moorad Choudhry

Publisher: Butterworth-Heinemann

ISBN: 9780750651622

Page: 479

View: 244

The book features an introduction to the structure and mechanics of repo, institutional practices and real-world examples. In addition the content includes necessary supplementary material such as bank asset and liability management, trading techniques, and a range of other applications of value in the global money markets. Repo markets play a pivotal role in the world's economy. The Repo Handbook is the definitive, comprehensive guide to this most important element of the global debt capital markets. It describes the use, motivations and mechanics of the repo instrument, and features invaluable coverage of specific country markets and institutions. The reader is taken through classic repo, sell/buy backs and structured repo, as well as additional products such as the total return swap and securities lending. As important is the treatment of related areas, such as money markets, banking asset & liability management and the implied repo rate, vital to a full understanding of repo. This book is the ultimate guide for bankers, repo traders and salespersons, money market participants, corporate treasurers, debt finance professionals and is organized into three parts: Part I covers the repo instrument, and examines repo mechanics and use of repo. There is also a look at selected country repo markets around the world. Part II of the book considers the institutional treatment of repo, with chapters on risk, netting, accounting, and legal issues. There is also a chapter on equity repo. Part III looks at basis trading and the implied repo rate. This includes results of original research on the gilt bond basis, presented in accessible style. * A complete guide to repo, including introductions to money markets and bonds * Contains the author's personal anecdotes from trading * Covers every aspect of repo for all participants including legal, tax, accounting and back office

C for Financial Markets

An Introduction to the Bond Markets. John Wiley & Sons ... Derivatives
Demystified: a Step-by-StepGuide to Forwards, Futures, Swaps & Options. John
Wiley & Sons Choudhry, M. 2006. The Futures Bond Basis, 2nd Edition. John
Wiley & Sons ...

C  for Financial Markets

Author: Daniel J. Duffy

Publisher: John Wiley & Sons

ISBN: 1118502833

Page: 856

View: 208

A practice-oriented guide to using C# to design and program pricing and trading models In this step-by-step guide to software development for financial analysts, traders, developers and quants, the authors show both novice and experienced practitioners how to develop robust and accurate pricing models and employ them in real environments. Traders will learn how to design and implement applications for curve and surface modeling, fixed income products, hedging strategies, plain and exotic option modeling, interest rate options, structured bonds, unfunded structured products, and more. A unique mix of modern software technology and quantitative finance, this book is both timely and practical. The approach is thorough and comprehensive and the authors use a combination of C# language features, design patterns, mathematics and finance to produce efficient and maintainable software. Designed for quant developers, traders and MSc/MFE students, each chapter has numerous exercises and the book is accompanied by a dedicated companion website, http://www.datasimfinancial.com/forum/viewforum.php?f=196&sid=f30022095850dee48c7db5ff62192b34, providing all source code, alongside audio, support and discussion forums for readers to comment on the code and obtain new versions of the software.

Bank Asset and Liability Management

Basis: The underlying cash-market price minus the futures price. In the case of a
bond futures contract, the futures price must be multiplied by the conversion
factor for the cash bond in question. Basis points: In interest-rate quotations, 0.01
%.

Bank Asset and Liability Management

Author: Moorad Choudhry

Publisher: John Wiley & Sons

ISBN: 1118177215

Page: 256

View: 687

Banks are a vital part of the global economy, and the essence of banking is asset-liability management (ALM). This book is a comprehensive treatment of an important financial market discipline. A reference text for all those involved in banking and the debt capital markets, it describes the techniques, products and art of ALM. Subjects covered include bank capital, money market trading, risk management, regulatory capital and yield curve analysis. Highlights of the book include detailed coverage of: Liquidity, gap and funding risk management Hedging using interest-rate derivatives and credit derivatives Impact of Basel II Securitisation and balance sheet management Structured finance products including asset-backed commercial paper, mortgage-backed securities, collateralised debt obligations and structured investment vehicles, and their role in ALM Treasury operations and group transfer pricing. Concepts and techniques are illustrated with case studies and worked examples. Written in accessible style, this book is essential reading for market practitioners, bank regulators, and graduate students in banking and finance. Companion website features online access to software on applications described in the book, including a yield curve model, cubic spline spreadsheet calculator and CDO waterfall model.

An Introduction to Repo Markets

Basis trading, also known as cash-and-carry trading, refers to the activity of
simultaneously trading cash bonds and the ... Contract definition Bond futures,
like commodity futures, are based on the delivery of a tangible asset — a
particular ...

An Introduction to Repo Markets

Author: Moorad Choudhry

Publisher: John Wiley & Sons

ISBN: 9781119995005

Page: 224

View: 122

The Repo markets have grown dramatically in the past few years because of the need to hedge short positions in the capital and derivatives markets. Virtually all major currency markets in the world now have an established repo market, the facility is also increasingly being used in developing currency markets as well. This book is a practical introduction that focuses on the instruments, applications and risk management techniques essential for this rapidly evolving market. Fully updated to reflect the changes in these markets, the book also includes worked examples and case studies, and new sections on basket and structured finance repo.

Bond Market Securities

The basis and implied repo rate For later analysis, we introduce now some terms
used in the futures markets. The difference between the price of a futures contract
and the current underlying spot price is known as the basis. For bond futures ...

Bond Market Securities

Author: Moorad Choudhry

Publisher: Financial Times Management

ISBN:

Page: 379

View: 805

Investors need to be fully conversant with the differences in the way that bonds are structured, valued and traded. "Bond Market Securities" contains a wide range of methodologies that will help the reader to gain a good understanding of fixed income securities and some of their associated derivatives. "Bond Market Securities" investigates the fundamentals of fixed income analysis, reviewing the latest research and presenting it in an accessible way that is suitable for practitioners and graduate students alike. The research is summarized in a way that allows readers to apply results to their individual requirements. Important subjects are covered in a straightforward style, using only essential mathematics, while further references are listed in full so that the reader may undertake further research. Topics covered include: Bond mathematics Spot and forward rates Yield curve fitting techniques Term structure models Credit derivatives in the fixed income markets Stochastic models and option pricing Hybrid securities Forwards and futures Market trading considerations and techniques Mortgage-backed securities. Written by a debt markets professional with many years' experience trading bonds in the markets, the book focuses on the international nature of these instruments, allowing you to apply the techniques and applications covered in the book in every debt capital market, irrespective of geographical location. "Bond Market Securities" provides a concise and accessible description of the main elements of the markets, the instruments used and their applications, and will be ofvaluable use to both the experienced practitioner and the bond market novice. ""Bond Market Securities" is accessible to both scholars and practitioners, but sacrifices little in quantitative rigour or institutional detail. It will be added to my graduate reading lists"-- Professor Steve Satchell, Faculty of Economics and Politics, Cambridge University "In bond markets it is easy to overcomplicate things with too much jargon, too many technical terms and too many long mathematical formulae. Moorad's book brings refreshing clarity to the subject, helping show how (and why) these markets really work."-- Peter Matthews, Senior Credit Trader and Head of FRN Trading, ABN Amro Bank NV "Moorad is a rare combination - technically and intellectually brilliant and blessed with the personality and ability to communicate effectively with the rest of us. He has the ability to demystify the seemingly most complex concepts and an enthusiasm for his subject that shines through his writing and captures the reader's interest."-- Martin Barber, Partner, KPMG Consulting

Valuing Fixed Income Futures

The first step to building a fair value model for these instruments is to review the
well-worn vernacular of Treasury bond basis. In fact, Treasury futures are so often
used to hedge that much of the language surrounding them was developed to ...

Valuing Fixed Income Futures

Author: David Boberski

Publisher: McGraw Hill Professional

ISBN: 0071475419

Page: 239

View: 271

The more precisely risks can be defined the easier it is to make judgments about whether they're fairly valued. Valuing Fixed Income Futures is a practical resource that equips financial professionals with a means of measuring the performance of Treasury and Eurodollar futures. Written by David Boberski, one of today's leading Wall Street analysts, the book explains how to apply technology to develop empirical frameworks to solve for embedded option valuation in Treasury and Eurodollar futures. He shows in detail how to build empirical models to measure risk...the drivers of Treasury/Eurodollar spreads...and more. Valuing Fixed Income Futures focuses on developing tools to aid in relative value decisions. This expert guide takes readers step by step through every major aspect of fixed income futures valuation using hedging examples from the mortgage market: An Overview of Where Futures Fit into the Fixed Income Landscape_ examining the characteristics of fixed income futures and what risks they entail A Comprehensive Examination of the Futures Market_ detailing recent major changes in the trading arena, the ways in which futures mirror mortgage convexity, calendar spreads, and the types of traders who use futures to manage risks Treasury Futures: The Language of the Basis_ covering delivery option, basis matrix, and “fear arbitrage” from recent squeezes in the market Eurodollar Futures: Minimal Structure, Complex Implications_ exploring convexity bias, contrasting Eurodollar and Fed Funds valuation, hedging hybrid ARMs, and hedging in practice Treasury/Eurodollar (TED) Spreads_ analyzing drivers of the spread and TED spread with empirical models Pricing Options with an Event Model_ explaining why volatility drives option prices, and how to create a volatility map to anticipate future volatility Filled with scores of financial tables, charts, and figures, this complete valuation tool provides definitions of the entire range of fixed income futures terms, plus in-depth guidance for applying all models and methods. Valuing Fixed Income Futures presents a careful, state-of-the-art analysis of the technology for understanding price behavior and the risk of each contract not found in any similar resource.

Global Repo Markets

A review of the US Treasury or the gilt bond basis relative to the bond carry,
shows that the basis has frequently been greater than the carry, and this would
indicate mis-pricing in the futures contracts. The anomalies in pricing are due to a
 ...

Global Repo Markets

Author: Moorad Choudhry

Publisher: John Wiley & Sons

ISBN: 1118178963

Page: 640

View: 440

Repo, from sale and repurchase agreement, is one for the oldest and widely used instruments in global capital markets. It is a vital ingredient in the smooth and efficient running of the financial markets, and is used by all market participants including central banks, commercial banks, fund managers and corporates. This book is a comprehensive, detailed and authoritative description of the repo instrument. Written by a former repo trader, it covers applications and analysis of the various different instruments used in the repo markets. It also places the repo markets in the overall context of the money markets and banking asset-liability management.

Fixed Income Markets

I hope my words do not fail too much in describing the exceptional quality of this book. - Dr Haris Kessaris, Director, KBC Financial Products This book is a comprehensive and in-depth account of the global debt capital markets.

Fixed Income Markets

Author: Moorad Choudhry

Publisher: John Wiley & Sons

ISBN: 1118179587

Page: 640

View: 527

This book is a comprehensive and in-depth account of the global debt capital markets. It covers a wide range of instruments and their applications, including derivative instruments. Highlights of the book include: Detailed description of the main products in use in the fixed income markets today, including analysis and valuation Summary of market conventions and trading practices Extensive coverage of associated derivatives including futures, swaps, options and credit derivatives Writing style aimed at a worldwide target audience An overview of trading and investment strategy. The contents will be invaluable reading for anyone with an interest in debt capital markets, especially investors, traders, bond salespersons, risk managers and banking consultants.