Trading Treasury Futures A Python Framework for Basis Analysis and Delivery Modeling

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Trading Treasury Futures A Python Framework for Basis Analysis and Delivery Modeling | 3.79 MB

Title: Trading Treasury Futures A Python Framework for Basis Analysis and Delivery Modeling
Author: Felix J. Warwick
Category: Programming Languages, Investments & Securities
Language: English | 356 Pages | ISBN: 6610001339067

Description:
Treasury futures sit at the center of modern fixed income trading, yet their real edge lies well beyond simple duration exposure. This book is written for fixed income traders, macro investors, and portfolio managers who use Treasury futures to hedge portfolios, express curve views, and pursue cash-futures relative value. It speaks directly to practitioners who need a clearer framework for delivery economics, basis behavior, and risk sizing in the contracts that dominate rates markets. The book develops a practical, Python-based approach to the full Treasury futures workflow: pricing cash bonds, handling quote and settlement conventions, modeling repo financing, understanding conversion factors and invoice pricing, and identifying the cheapest-to-deliver bond. From there, it shows how to compute gross, net, and adjusted basis, decompose carry and rolldown, analyze implied repo, and build CTD-aware basis trades. Readers also learn to construct DV01-neutral curve spreads such as NOB and FYT, hedge portfolios with futures, and evaluate options on ZN and ZB, including straddles and condors. What sets this treatment apart is its integration of market intuition, trading logic, and implementation discipline. The material moves from instrument mechanics to production-minded analytics, including reusable pricing engines, delivery optimizers, hedge modules, backtesting, transaction-cost modeling, and roll management. A working familiarity with bonds, futures, and Python will help, but the framework is designed to turn that knowledge into a robust trading and risk process.

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