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bond-futures-basis

Compute bond futures net basis and implied repo against yield-curve context.

1|Updated May 16, 2026
Search Tags:#yield curve#bond futures#basis trading#implied repo#CTD#repo economics
One-click install
npx skills add https://github.com/executiveusa/Cheggie-trade-V2 --skill bond-futures-basis-executiveusa
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: bond-futures-basis
Source: https://github.com/executiveusa/Cheggie-trade-V2/tree/main/core/financial-skills/plugins/partner-built/lseg/skills/bond-futures-basis
Command: npx skills add https://github.com/executiveusa/Cheggie-trade-V2 --skill bond-futures-basis-executiveusa

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

It resolves uncertainty in bond futures basis trading by linking futures pricing, cash bond analytics, and delivery mechanics into a single basis and implied-repo assessment.

Core Features & Use Cases

  • Futures-to-CTD pricing workflow: Prices the bond futures to identify the CTD and extract conversion factors, delivery basket details, and contract DV01, then prices the CTD cash bond for yield/duration/DV01 to support basis math.
  • Basis and implied repo computation: Computes gross basis, carry, net basis (BNOC), and implied repo rate, then compares implied repo versus a market proxy to decide whether the contract is rich, fair, or cheap.
  • Contextual validation: Adds yield-curve context (repo proxy from the short end) and historical basis tracking (trend, volatility, and percentile), with an optional sovereign credit overlay to diagnose credit-driven distortions.

Quick Start

Use bond-futures-basis to price the target bond futures contract, identify the CTD, compute implied repo and net basis against yield-curve and historical context, and output a rich/fair/cheap basis trade assessment with analytics tables.

Frequently Asked Questions about bond-futures-basis

High-intent search queries and answers about installing and using this skill.

FAQPage Schema
How do I calculate bond futures basis and implied repo to find cheap-to-deliver opportunities?▼

To calculate bond futures basis, price the futures contract to identify the CTD, price the cash bond, and compute net basis and implied repo against yield-curve context to assess whether the contract is rich, fair, or cheap.

What is net basis in bond futures and how does delivery option analysis work?▼

Net basis, or BNOC, represents the gross basis adjusted for carry. Delivery option analysis evaluates the CTD selection by pricing the bond futures and corresponding cash bonds to determine basis trading viability.

How do I determine the cheapest to deliver bond for futures basis trading?▼

You determine the cheapest to deliver bond by pricing the bond futures contract to extract conversion factors and delivery basket details, then pricing CTD cash bonds for yield and DV01 to support the basis calculation.

Can I use historical basis percentiles to validate implied repo rates for CTD selection?▼

Yes, you can validate implied repo rates by comparing them against a repo proxy from the short end of the yield curve and tracking historical basis trends, volatility, and percentile rankings for contextual validation.

What yield curve and repo data do I need for bond futures basis analysis?▼

Bond futures basis analysis requires chaining outputs from interest rate curves for repo proxies, bond futures pricing, cash bond pricing, and historical pricing summaries to produce consistent basis analytics.

Why does my bond futures basis computation require sovereign credit overlay diagnostics?▼

A sovereign credit overlay diagnoses credit-driven distortions in the basis. It is applied contextually when yield-curve and repo economics alone cannot explain anomalies in the implied repo rate.

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