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https://www.sciencedirect.com/science/article/pii/S1058330009000299
Hedging interest-rate risk using Treasury bond (T-bond) futures is complicated by the delivery options built into the contract. Any Treasury bond with maturity or time to first call of at least 15 years is eligible for delivery against the T-bond contract.Author: Robin Grieves, Alan J. Marcus, Adrian Woodhams
https://www.sciencedirect.com/science/article/abs/pii/S1058330009000299
Delivery options and Treasury bond futures hedge ratios. Journal of Derivatives, 13, 70–76.] show that, in some circumstances, only two bonds—those with the highest and the lowest duration—are relevant for the hedging problem, which makes computation of analytic hedge ratios tractable.Author: Robin Grieves, Alan J. Marcus, Adrian Woodhams
https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1159562_code260653.pdf?abstractid=1159562&mirid=1
Hedging interest rate risk using T-bond futures is complicated by the delivery options built into the contract. Any Treasury bond with maturity or time to first call of at least 15 years is eligible for delivery against the T-bond contract. Similarly, the 10-year T-note contract may be settled with any note originally issued with 10 years toAuthor: Robin Grieves, Alan J. Marcus, Adrian Woodhams
https://www2.bc.edu/alan-marcus/papers/RFE_2010.pdf
If the ultimate delivery bond were known in advance, the futures price would be a uniformly convex function of interest rates, reflecting the convexity of that bond.
https://www.researchgate.net/publication/46493277_Delivery_options_and_convexity_in_Treasury_bond_and_note_futures
Delivery options and convexity in Treasury bond and note futures. Using Treasury bond and note futures to hedge fixed-income portfolios is complicated by the large number of bonds that are eligible to deliver against the contract. Grieves and Marcus [Grieves, R. and A. Marcus.
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1159562
Jul 14, 2008 · Using Treasury bond and note futures to hedge fixed income portfolios is complicated by the large number of bonds that are eligible to deliver against the contract.Author: Robin Grieves, Alan J. Marcus, Adrian Woodhams
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