bndfutprice
Price bond future given repo rates
Syntax
Description
[
computes the price of a bond futures contract for
one or more bonds given a repo rate, and bond
properties, including 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 arguments.FutPrice
,AccrInt
] = bndfutprice(RepoRate
Price
,FutSettle
,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.FutPrice
,AccrInt
] = bndfutprice(___,Name,Value
)
Examples
Input Arguments
Name-Value Arguments
Output Arguments
More About
References
[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.