The Treasury Bond Basis: An In-Depth Analysis for Hedgers, Speculators, and Arbitrageurs

by Galen Burghardt

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;...

• Format: Hardcover
• Language: English
• ISBN: 1557380503
• ISBN13: 9781557380500
• Release Date: February 1989
• Publisher: Probus Publishing Co.
• Length: 225 Pages
• Weight: 1.10 lbs.

Customer Reviews

Great book

I am a computer programmer who was working for a Secondary Market division in a bank and I was looking a reference of how to do hedging operations buying cash bonds and selling futures in short; also in my new role as programmer for a reconciliation team I wanted to learn how to calculate the P & L of fix income operations. Few books contains the level of details that I was looking for, this book is one of them good starting point, it explains realistic models and trents used for finance people to do capital markets.

THE textbook for basis trading

This is simply the only truly readable and authoritative book on its subject. Terry Belton is acknowledged as being the foremost authority on futures research, and this book bears it out. If you're thinking about basis trading, or work in the derivatives market, this book is well worth a look.(I should also mention that Terry is my boss..doesn't stop it being a good book, though. Hope I get that raise!)

Top class reference

I've been working in Futures & Options research for 3 years now, and this has proven to be the best refernce guide available. Terrence elucidates the concepts and mechanisms underlying the treasury bond basis with eloquence and intellect. His other work, Eurodollar Futures and Options, is also a great reference for the shorter end of the curve.

Simply Outstanding

Dr. Belton has once again outdistanced himself from other writers on this topic. His clear concise style is refreshing.Belton provides all the technical details needed and presents them in a logical and easy to follow manner.A must for any risk manager. I strongly recommend this book and Dr. Belton's previos work, Eurodollar.

Simplicity Itself

Terry Belton's contributions to this work are nothing short of tremendous. His unique ability to present advanced financial concepts in a meaningfully clear and concise framework is refreshing. Belton has successfully walked the fine line by creating a multifaceted text for both the fixed income neophyte as well as the experienced risk arbitrageur. While his detailed analytical and insightful discussions prove to be a pragmatic resource for investment professionals trying to manage their exposure to interest rate risk, his clarity allows the text to be a valued resource to students and beginners. A recommended strong buy for all people involved with fixed income markets.