Is anyone aware of a good book explaining the details of the different costs associated with US treasury futures. I'm specifically interested in the implied financing rate embedded in the price and how to separate that out from the other costs (e.g. coupon payments). A tool would also be useful to check my understanding.
Statistics: Posted by phantom0308 — Mon Jan 08, 2024 4:50 am — Replies 2900 — Views 341890