References for Treasury Bond Futures and Basis Analysis

Summary

The document discusses whether a well-known book on Treasury bond basis remains useful for learning US Treasury bond and note futures. The respondent considers it a strong reference for the market’s history and analytical methods, despite its publication predating later contract launches. The reply identifies ultra-long bond and ultra 10-year futures as developments that came after the book, while stating that the existing analytical toolkit still applies to them.

A second book on interest rate markets is suggested as a supplement, particularly for its treatment of futures calendar spreads. The exchange also mentions a handbook on Eurodollar futures and options in the question, but provides no detailed assessment of that text. This is a short, experience-based recommendation rather than a systematic comparison of books, course materials, or current market conventions. Readers preparing for a rates role may use it to guide further study, while checking newer product details and practices against up-to-date sources.

Key ideas

• A Treasury bond basis text published in 2005 is described as still valuable for its history and analytical methods.
• Later ultra-long bond and ultra 10-year futures contracts are noted as additions to the market.
• The respondent says the book’s analytical tools remain applicable to newer Treasury futures contracts.
• A broader interest rate markets text is suggested for additional coverage, including futures calendar spreads.
• The recommendations are personal judgments and do not provide a comprehensive review of current market practices.

Tags

# Textbook for US Treasury Bond / Notes Futures


# Textbook for US Treasury Bond / Notes Futures












Is the text The Treasury Bond Basis by Burghardt still the authoritative source on this topic? The most recent edition was published in 2005. I think that, based on the contents and others' referrals, the text will be a very useful introduction, but I also imagine some of the material is out-of-date and some topics currently viewed as important not included. Is there a more recent recommendable text available to supplement this one or outright replace it? Or perhaps better yet, a set of supplementary lecture notes for a course where this text was used?

I'm similarly curious about The Eurodollar Futures and Options Handbook.

I'm moving to a liquid rates desk in the near future (quant role), and I need to be up-to-date on these products/markets.

Thanks!

## Answer by Helin (score 1)

https://quant.stackexchange.com/a/31976

In my opinion, there is no better reference than The Treasury Bond Basis, which I still read cover-to-cover at least once a year.

Since the publication of the 2005 edition, the biggest development is the introduction of the WN (ultra-long bond) contract in 2009. The TN (ultra 10-year) contract was introduced in 2016 as well. But the same set of tools and analytical techniques would apply.

As @LazyCat mentioned, Interest Rate Markets is also a great reference. The discussion on futures calendar spread is particularly good, but Burghardt's Bond Basis still provides extensive/unrivaled historical context for understanding the evolution of bond basis.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.