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EagerTigger
Topic Author
Posts: 20
Joined: February 20th, 2004, 4:17 pm

bond basis pricing model

March 17th, 2004, 12:27 am

Hi, does anyone know how to program a bond basis pricing model, i.e, a program to project futures prices over a range of bond yields?or any idea where I can source for some samples / codes?Thanks!
 
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andym
Posts: 805
Joined: July 14th, 2002, 3:00 am

bond basis pricing model

March 17th, 2004, 7:07 am

As discussed in another thread, I recommend getting to grips with Burghardt or Plona.I don't have Burghardt, but Plona sets this out very clearly in Ch 11, in the sections:'the directional component: projecting the inflection', and'yield volatility component: projecting changes in the inflection'
 
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kwoksun2000
Posts: 70
Joined: June 4th, 2002, 9:41 pm

bond basis pricing model

August 12th, 2004, 1:58 pm

Just out of curiousity, do you know what kind of players are doing this trade nowadays? It seems like 5-10 years ago, it was basically a lot of small to medium sized prop trading companies. Is this still true? If not, who are the players now and how are they still able to profit? Superior technology?
 
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Gmike2000
Posts: 801
Joined: September 25th, 2003, 9:49 pm

bond basis pricing model

August 12th, 2004, 5:48 pm

I dont think there is a whole lot of arbitrage to be earned in here. But people do look at the relative value. After all there is an embedded option, and being long the 10yr future often means being short volatility at the same time. For a bond mgr this can mean a few bps of alpha versus pure govies.
 
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Elwood3001
Posts: 11
Joined: November 14th, 2003, 5:27 pm

bond basis pricing model

August 13th, 2004, 12:31 pm

over the past several months I worked on developing a basis model for my firm. Now that I got the algorithms coded up by our programmers I have started watching it alongside the market. In some ways it's good, in some ways not there yet. I can't give out the code because that's now property of the company but since I will soon be trading this market I am eager to talk to anyone that I can about it. My particular interests lie in the optionality embedded in the futures contract and in the relative price movements of successive contracts (for example, TYU04 vs. TYZ04).And I second the recs for Burghardt and Plona's books, everything is in there you just have to read it a couple times because it is pretty dry.so all you basis fans out there, drop me a line!
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