bond-futures-basis

To identify the cheapest-to-deliver (CTD) bond, price the bond futures contract and evaluate the delivery basket using conversion factors. This reveals the specific cash bond that minimizes delivery cost.

Calculate gross basis, net basis, and implied repo by pricing both the futures contract and the CTD cash bond. These basis metrics are then compared against available funding and repo rates to evaluate trading opportunities.

Bond futures basis trading exploits pricing gaps between futures and cash bonds. Delivery-option assessment evaluates the value embedded in choosing which bond to deliver, uncovering cross-market arbitrage and relative value opportunities.

Use yield curve context by overlaying relevant government yield curves onto basis metrics. This assesses relative value and risk across tenors, helping fixed-income desks contextualize basis shifts for the delivery basket.

Yes, track basis evolution over time using historical pricing summaries. This contextualizes basis metrics with past data, allowing you to gauge regime shifts and volatility in the fixed-income market.

Yes, computing basis metrics requires MCP tooling such as bond_future_price, bond_price, interest_rate_curve, and tscc_historical_pricing_summaries to price contracts and contextualize with yield curves.