Implied repo rates for bond future given price
computes the implied repo rate for a bond future given the price of a bond,
the bond properties, the price of the bond future, and the bond conversion
factor. The default behavior is that the coupon reinvestment rate matches
the repo rate. However, you can specify a separate reinvestment rate using
optional inputs.ImpRepo
= bndfutimprep(Price
,FutSettle
,FutPrice
,Delivery
,ConvFactor
,CouponRate
,Maturity
)
specifies options using one or more optional name-value pair arguments in
addition to the input arguments in the previous syntax.ImpRepo
= bndfutimprep(___,Name,Value
)
[1] Burghardt, G., T. Belton, M. Lane, and J. Papa. The Treasury Bond Basis. McGraw-Hill, 2005.
[2] Krgin, Dragomir. Handbook of Global Fixed Income Calculations. John Wiley & Sons, 2002.