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Basis trading is an important part of the government bond markets. In this book we review the essential elements of this type of trading. Written by a former government bond market maker and proprietary bond trader, the book features: Basic concepts of forward pricing The determinants of the basis Repo financing Hedging using bond futures Trading the basis and an introduction to trading strategy The concept of the "cheapest-to-deliver" bond The net basis and the "implied repo rate" The book is illustrated with in-depth practical examples and written in an accessible style. It will be of vital use to anyone with an interest or involvement in the government bond futures market.
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