Gap in the market?

[Bazman76]

Book market that is!

There are loads of "quant" type books that take you through the mechanics of fixed income pricing but I am really looking for recommendations on books that focus specifically on fixed income trading.

In particular I am interested in the various spreads you can trade like Euro 10-30 box vs OAT or bund. The drivers behind these spreads and the strategies one can use to maximise any mispricing.

Also a volume focussing on trading zero's would be excellent too.

Other than that any links to up to date research on the fixed income market would be much appreciated.

Baz

 

[grantx]

BAZ,

The OAT was a French government bond future traded on MATIF. Neither exist anymore.

Grant.

 

[Bazman76]

Oat's are the French governments long end bonds.

i.e 7 year out

Government bond - Wikipedia, the free encyclopedia

 

[grantx]

Baz,

You are right, and I stand corrected (and surprised). However, like the Italian BTAN (previously traded on LIFFE), the OAT (previously traded on MATIF) does not seem to have a futures contract with which to hedge. I presumed you were referring to futures rather than cash (the underlying). If cash, I suspect you'll need big pockets.

So how do they hedge?

Good Trading,

Grant.

 

[Bazman76]

I was referring to cash.

And cash v swaps for the box.

to answer your delta risk would be hedged initialy by bund futures leaving you with various spread risks.

I know practically speaking you really need to be an institutional investor to start punting these but its an intresting area sorely neglected in the litrature!.

Just wanted a good source to gen up on this stuff but there are no books (that I can find) and no research material that is freely available.

Baz

Baz,

You are right, and I stand corrected (and surprised). However, like the Italian BTAN (previously traded on LIFFE), the OAT (previously traded on MATIF) does not seem to have a futures contract with which to hedge. I presumed you were referring to futures rather than cash (the underlying). If cash, I suspect you'll need big pockets.

So how do they hedge?

Good Trading,

Grant.

 

[grantx]

Baz,

Other than the excellent literature available on Eurex re fixed interest futures, I don't know of anything which deals exclusively with trading. For bonds generally (cash and futures), Frank Fabozzi has written stacks of books, from the basic to the advanced, and all highly regarded.

Grant.

 

[Bazman76]

Baz,

Other than the excellent literature available on Eurex re fixed interest futures, I don't know of anything which deals exclusively with trading. For bonds generally (cash and futures), Frank Fabozzi has written stacks of books, from the basic to the advanced, and all highly regarded.

Grant.

Thanks I got a few of the Fabozzi books they are excellent at explaining the mechanics of the market and how instruments may be valued.

But they don;t really cover the actual trading side, the relative value strategies you can look at and their drivers.

I have looked but currently there does not appear to be anything like what I want.