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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.
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THE TREASURY BOND BASIS OTHER TITLES IN THE MCGRAW- HILL LIBRARY OF AND FINANCE INVESTMENT Active Portfolio Management by Richard Grinold and Ronald Kahn Applied Equity Analysis by James English Asset Allocation by Roger Gibson Building Financial Models by John Tjia The Complete Arbitrage Deskbook by Stephane Reverre Convertible Securities by John P. Calamos Dynamic Portfolio Theory and Management by Richard Oberuc Equity Management by Bruce Jacobs and Kenneth Levy The Eurodollar Futures and Options Handbook by Galen Burghardt Exchange Rate Determination by Michael Rosenberg Global Invstment Risk Management by Ezra Zask The Handbook of Advanced Business Valuation by Robert F. Reilly and Robert P. Schweihs The Handbook of Business Valuation and Intellectual Property Analysis by Robert Reilly and Robert Schweihs The Handbook of Credit Derivatives by Jack Clark Francis, Joyce Frost, and J. Gregg Whittaker The Hedge Fund Handbook by Stefano Lavinio Hedging Instruments and Risk Management by Patrick Cusatis and Martin Thomas High-Yield Bonds by Theodore Barnhill, William Maxwell, and Mark Shenkman Implementing Credit Derivatives by Israel Nelken Managing Financial Risk by Charles W. Smithson Modeling Financial Markets by Benjamin Van Vliet and Robert Hendry Pricing Derivatives by Ambar Sengupta Pricing, Hedging, and Trading Exotic Options by Israel Nelken Pricing and Managing Exotic and Hybrid Options by Vineer Bhansali Quantitative Business Valuation by Jay Abrams, Risk Management and Financial Derivatives by Satyajit Das Valuing a Business by Shannon P. Pratt, Robert F. Reilly, and Robert Schweihs Valuing Intangible Assets by Robert F. Reilly and Robert P. Schweihs Valuing Small Business and Professional Practices by Shannon Pratt, Robert F. Reilly, and Robert P. Schweihs THE TREASURY BOND BASIS An In-Depth Analysis for Hedgers, Speculators, and Arbitrageurs Third Edition GALEN D. BURG HARDT TERRENCE M. BELTON MORTON LANE JOHN PAPA McGraw-Hill New York Chicago San Francisco Lisbon London Madrid Mexico City Milan New Delhi San Juan Seoul Singapore Sydney Toronto Copyright© 2005 by Galen D. Burghardt and Terrence M. Belton. All rights reserved. Printed in the United States of America. Except as permitted under the United States Copyright Act of 1976, no part of this publication may be reproduced or dis tributed in any form or by any means, or stored in a data base or retrieval system, without the prior written permission of the publisher. 10 11 12 13 14 TBT/IBT 1 9 8 7 6 5 4 3 2 1 ISBN 0-07-145610-4 Appendix to Chapter 5 was originally published January 28, 1998, as a Carr Futures (now Calyon Financial) research note. Chapter 7 is a reprint of a journal of Portfolio Management article. ©1993 ]oumal of Portfolio Management, Spring 1993. Reprinted with permission. by The Appendixes C and E are excerpted from JPMorgan Govemm ent Bond Outlines, October 2001. Reprinted with permission of JPMorgan. Appendixes D, F, and G are excerpted from JPMorgan Govemment Bond Outlines, April 2005. Reprinted with permission of JPMorgan. McGraw-Hill books are available at special q