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The Futures Bond Basis, Second Edition by Moorad Choudhry

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INDEX

accrued interest

see also conversion factors

‘arbitrary calculation’ 42

concepts 68, 201, 2831, 348, 423, 667, 7781, 8792, 10512

American options 116

see also options

appendices 14797

arbitrage

basis trades 8, 20, 401, 62, 947, 1306

concepts 89, 1221, 536, 62, 934, 1306, 1712

no-arbitrage assumptions 5360, 10412

pricing 1221, 10412

pure arbitrage 1415

risk-free arbitrage 1416, 53

short squeezes 1346

arbitrage-free futures pricing, concepts 1621

‘arbitrary calculation’, accrued interest 42

Asia-Pacific region 1489

asset swaps

see also interest-rate swaps

definition 163

asset–swap spreads

concepts 160, 162, 1635

relative value analysis 160, 162, 1635

Z-spread 1656

ASW screen 1645

back office activities, equity repos 148

backwardation, concepts 589

banks, organisation 148

basis

see also Cash–CDS spreads

analysis 10412

concepts 89, 212, 39101, 10422, 160, 16972

definition 9, 212, 40, 43, 578, 160, 16970

driving factors 41, 43, 10422, 172

forward discount 43

forward instruments 40, 416, 758

government bonds 39101

historical analysis 1248, 1403

implied repo rates 5960, 7881, 8292, 10322, 1289, 13943

zero-basis futures 10512, 1258

basis point value (BPV) 236, 745, 1535, 1601, 1656

concepts 236, 745

hedge ratios 236, 745

basis risk

concepts 22, 31, 589

definition 22

basis trades

see also cash-and-carry trading

arbitrage 8, 20, 401, 62, 947, 1306

Bloomberg illustration 1435

concepts 8, 20, 401, 62, 758, 8592 ...

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