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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contents and others' referrals, the text will be a very useful introduction, but I also imagine some of the material is out-of-date and some topics currently viewed as important not included.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!

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  • $\begingroup$ Yeah, it's a bit like reading Hull with his WSJ corn futures prices printouts. I liked this one better: amazon.com/Interest-Rate-Markets-Practical-Approach/dp/… $\endgroup$
    – LazyCat
    Jan 19, 2017 at 15:34
  • $\begingroup$ I think Burghardt is still considered the reference on bond futures. $\endgroup$
    – nbbo2
    Jan 19, 2017 at 15:47

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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.

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