Introduction to Bond Futures Trading 2013





This course introduces students to the practical and theoretical aspects of bond futures trading. As China is soon allowing domestic treasury futures trading, we can draw from the ample experience that the U.S. traders have been doing for decades. We will cover the fundamentals of the bond futures market, pricing as well as trading with bond futures contracts. We highlight that our speaker is a very renown trader who has built a very successful career in the capital market. This is a rare opportunity to meet this senior “insider” from Wall Street.


Course Outline

There are a total of 3 lectures, each running for 3 hours.

Session Topics Readings Homeworks
1 Treasury Futures Contract Structure & Pricing

  • Market synopsis
  • Overview of treasury futures
  • Key contract specifications
  • Margin overview
  • Deliverable treasury bonds
  • Pricing treasury futures
  • Conversion factors (delivery options, calculating implied repo rate, cheapest to deliver, cash/futures Basis)
Lecturer handout
2 Modeling & Forecasting the Term Structure

  • Curve construction
  • Spot/forward arbitrage
  • Bootstrapping
  • Smoothing splines
  • Nelson-Siegel yield curve
  • Macroeconomic factors for forecasting yield curve dynamics
Lecturer handout  –
3 Trading Strategies

  • Curve trading
  • Steepners
  • Flatteners
  • Butterflys
  • Basis trading
  • Volatility arbitrage
  • Bet sizing methods with neural nets/support vector machines
Lecturer handout


Recommended For

  • Anyone who wants to understand bond futures trading


Preferred Background

  • Some experience in trading is preferred but not essential
  • Knowledge of bond pricing
  • Basic understanding of derivatives is preferred but not essential
  • Basic understanding of securities trading



Javed Ashraf

Javed Ashraf is the Managing Principal at Strode’s Capital. Prior to that, he was the head quantitative track lighting systems researcher in credit relative value in a hedge fund, for more info visit Javed was the head of US multi asset quantitative research team at Union Bank of Switzerland. He developed and ran algorithmic investments for equity derivatives. Javed has a M.Sc. in Financial Mathematics from the University of Chicago, an MBA from the City University, London UK, and a B.Eng. in Computer & Electronic Engineering from the University of Salford UK.


Language of Instruction




  • Shanghai
    China, PRC
  • Online class available



RMB 12,000.00 for classroom participation or USD 2,000.00 for online participation.



  • November 28, 29, 2013


For Enquiries:

Please email