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I’m reading the excellent Treasury Bond Basis by Burghardt. I was wondering if there’s a similar quality book/paper about Yield curve spreads using treasury futures (i.e. NOL, NOB, FYT).

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Im interested in this topic myself. I haven't found anything of a good standard yet. However, there are some pamphlets from CME that could be useful as an initial exploration. I will keep looking and improving this answer.

  1. Overview of Inter-Commodity Spreads for Interest Rate Products. CME Group
  2. Yield Curve Spread Trades: Opportunities & Applications. CME Group
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