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Bund Basis Trading

  • Daniel Corrigan
  • Mark Pohlmann
Part of the Finance and Capital Markets Series book series

Abstract

Basis trading involves the purchase of a deliverable Bund and simultaneous sale of a number of Bund futures contracts or the reverse — the sale of a cash Bund and simultaneous purchase of a number of Bund futures contracts. It is a form of arbitrage designed to extract risk-free profits by enforcing the delivery mechanism that underpins the Bund futures contract. The contract seller has the right and obligation to deliver any Bund which fulfils the relevant exchanges deliverability criteria and in return receives an amount of Deutschmarks according to a preset formula.

Keywords

Implied Volatility Future Contract Yield Spread Yield Differential Delivery Schedule 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Palgrave Macmillan, a division of Macmillan Publishers Limited 1991

Authors and Affiliations

  • Daniel Corrigan
  • Mark Pohlmann

There are no affiliations available

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