bond-futures-basis

You calculate basis by calling bond futures pricing functions against cash bond prices to determine the delivery value. This identifies the cheapest-to-deliver asset by measuring the gross basis across the delivery basket.

Implied repo analysis evaluates yield curve relationships to judge whether bond futures are rich or cheap. It measures the embedded financing rate implied by selling a futures contract and buying the CTD cash bond.

To generate a basis report, run the bond futures analysis workflow against a futures contract and its delivery basket. The output quantifies basis, carry, and potential arbitrage opportunities for trade decision workflows.

Yes, you can use historical pricing summaries to evaluate bond basis opportunities. The analysis calls historical pricing data alongside interest rate and credit curves to compute basis metrics and delivery analysis.

You need bond futures basis analysis in fixed-income risk management scenarios where you must measure basis, identify the cheapest-to-deliver, and evaluate implied repo relationships. It quantifies carry and potential arbitrage opportunities.