This book is a must-have for professional traders of Treasury bond and note futures. It provides a comprehensive analysis of the complex relationship between the cash market and futures market for Treasury bonds and notes, giving insights on how to understand and profit from the relationship. The third edition has been updated with new discussions of global bond futures trading, new illustrations, examples, and case studies covering every aspect of the bond basis. The book also offers strategies for hedging with Treasury futures, creating synthetic bonds, and managing duration and yield curve exposure.

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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.

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