tfutpricebyrepo

Calculates Treasury bond futures price given the implied repo rates

Syntax

[QtdFutPrice,AccrInt] = tfutpricebyrepo(RepoData,ReinvestData,Price,Settle,MatFut,ConvFactor,CouponRate,Maturity)

Description

example

[QtdFutPrice,AccrInt] = tfutpricebyrepo(RepoData,ReinvestData,Price,Settle,MatFut,ConvFactor,CouponRate,Maturity) computes the theoretical futures bond price given the settlement price, the repo/funding rates, and the reinvestment rate.

Examples

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This example shows how to compute the quoted futures price and accrued interest due on the target delivery date, given the following data.

RepoData     = [0.020  2];
ReinvestData = [0.018  3];
Price        = [114.416; 113.171];
Settle       = datenum('11/15/2002'); 
MatFut       = [datenum('15-Dec-2002'); datenum('15-Mar-2003')];
ConvFactor   = [1 ; 0.9854];
CouponRate   = [0.06;0.0575];
Maturity     = [datenum('15-Aug-2009'); datenum('15-Aug-2010')];
 
[QtdFutPrice AccrInt] = tfutpricebyrepo(RepoData, ... 
ReinvestData, Price, Settle, MatFut, ConvFactor, CouponRate, ... 
Maturity)
QtdFutPrice = 2×1

  114.1201
  113.7090

AccrInt = 2×1

    1.9891
    0.4448

Input Arguments

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Simple term repo/funding rates, specified as a number of futures NFUT-by-2 matrix of rates in decimal and their bases in the form of [RepoRate RepoBasis].

Specify RepoBasis as 2 = actual/360 or 3 = actual/365.

Data Types: double

Reinvestment of intervening coupons, specified as a number of futures NFUT-by-2 matrix of rates and bases in the form of [ReinvestRate ReinvestBasis].

ReinvestRate is the simple reinvestment rate, in decimal. Specify ReinvestBasis as 0 = not reinvested, 2 = actual/360, or 3 = actual/365.

Data Types: double

Current bond price per $100 notional, specified as a scalar numeric or an NINST-by-1 vector.

Data Types: double

Settlement/valuation date of futures contract, specified as a scalar or an NINST-by-1 vector of serial date numbers or date character vectors.

Data Types: double | char | cell

Maturity dates (or anticipated delivery dates) of futures contract, specified as a scalar or an NINST-by-1 vector of serial date numbers or date character vectors.

Data Types: double | char | cell

Conversion factor, specified using convfactor.

Data Types: double | char | cell

Underlying bond annual coupon, specified as a scalar numeric decimal or an NINST-by-1 vector of decimals.

Data Types: double

Underlying bond maturity date, specified as a scalar or an NINST-by-1 vector of serial date numbers or date character vectors.

Data Types: double | char | cell

Output Arguments

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Quoted futures price, per $100 notional, returned as a NINST-by-1 vector.

Accrued Interest due at delivery date, per $100 notional, returned as a NINST-by-1 vector.

Introduced before R2006a