CONTENTS
1.2.2 Arbitrage-free futures pricing
1.3 Hedging using bond futures
1.3.2 Hedging a bond portfolio
1.A Conversion factor for the long gilt future
2.1 An introduction to forward pricing
2.1.2 Illustrating the forward bond basis
2.2 Forwards and futures valuation
2.2.5 Relationship between forward and future price
2.2.7 The basis and implied repo rate
2.3 The bond basis: basic concepts
2.3.2 Futures contract specifications
2.4 Selecting the cheapest-to-deliver bond
3 BASIS TRADING AND THE IMPLIED REPO RATE
3.1.1 No-arbitrage futures price
3.1.2 Options embedded in bond futures contracts
3.A General rules of the CTD bond
3.B A general model of the CTD bond
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