bond-futures-basis

To identify the cheapest-to-deliver (CTD) for bond futures basis trading, price the futures contract and delivery basket bonds, then compare their basis metrics. This skill applies yield-curve data to determine the CTD and evaluate delivery basket composition.

Calculate implied repo rates by pricing the bond future and its CTD bond to compute the basis, then compare the implied repo against market yield curves. This reveals whether the futures are rich or cheap and highlights delivery option value.

Bond futures basis is the difference between the futures price and the cash bond price, used to quantify delivery value. You need to analyze delivery option value when assessing basis trading opportunities and managing risk across the yield curve.

Yes, you can apply historical pricing alongside yield-curve data to assess bond futures basis trading opportunities. This skill leverages MCP tools to integrate historical context with cash-bond analytics to output recommended actions.

Yield-curve analysis and CTD selection require integrated futures pricing, cash-bond analytics, and historical pricing data. This skill uses MCP tools to gather this data, outputting CTD identification, basis metrics, and risk-management recommendations.