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bond-futures-basis

Price bond futures and CTD bonds to compute basis metrics and compare implied repo.

3|Updated Mar 18, 2026
Search Tags:#pricing#futures#bond#basis#ctd#implied-repo#conversion-factor
One-click install
npx skills add https://github.com/matparang/AutoJaga --skill bond-futures-basis-matparang
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: bond-futures-basis
Source: https://github.com/matparang/AutoJaga/tree/main/legacy/jagabot/skills/lseg-bond-futures-basis
Command: npx skills add https://github.com/matparang/AutoJaga --skill bond-futures-basis-matparang

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

Bond futures basis analysis helps traders determine delivery option value and arbitrage potential by pricing futures, identifying the CTD, and comparing implied repo with market rates.

Core Features & Use Cases

  • Price futures to determine CTD and delivery basket with conversion factors, DV01, and delivery dates.
  • Price the CTD bond to obtain price, yield, duration, and DV01 for basis calculation.
  • Compute gross basis, carry, and net basis, and contextualize with yield curves and historical basis trends to guide trading decisions.

Quick Start

Execute a full basis workflow: price the futures contract, price the CTD bond, compute basis metrics, and compare implied repo to the current market repo context.

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 identify the cheapest to deliver?▼

To calculate bond futures basis, price the futures contract to identify the CTD and delivery basket, extract conversion factors, and compute gross, carry, and net basis to evaluate delivery option value.

What is implied repo rate in bond futures and how does it compare to market repo?▼

Implied repo rate is the financing return derived from bond futures pricing. You compare implied repo to market repo rates by pricing the CTD bond and contextualizing the net basis against current yield curve trends.

How do I compute gross basis and net basis for a bond futures contract?▼

Compute gross basis by comparing the CTD bond clean price to the futures price adjusted by the conversion factor. Derive net basis by factoring in carry, then analyze the result against historical basis trends.

Can I extract DV01 and conversion factors for the delivery basket directly from bond futures pricing?▼

Yes, pricing the bond futures contract allows you to identify the delivery basket and directly extract conversion factors, DV01, and delivery dates for each eligible bond.

Why does my CTD bond analysis require duration and yield curve context?▼

CTD bond analysis requires duration and yield curve context to accurately assess basis trading opportunities. Pricing the CTD bond obtains its yield and duration, while yield curve context validates the implied repo comparison.

What is the best way to evaluate bond futures arbitrage potential?▼

Evaluate bond futures arbitrage potential by pricing the CTD bond to obtain its clean price, calculating net basis, and comparing the implied repo rate against market repo rates within historical basis trends.

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