tfutimprepo
Implied repo rates for Treasury bond future given price
Description
computes the implied repo rate that prevents arbitrage of Treasury bond futures,
given the clean price at the settlement and delivery dates.ImpliedRepo
= tfutimprepo(ReinvestData
,Price
,QtdFutPrice
,Settle
,MatFut
,ConvFactor
,CouponRate
,Maturity
)
Examples
Compute the Implied Repo Rates for Treasury Bond Futures Given the Price
This example shows how to compute the implied repo rate given the following set of data.
ReinvestData = [0.018 3]; Price = [114.4160; 113.1710]; QtdFutPrice = [114.1201; 113.7090]; 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')]; ImpliedRepo = tfutimprepo(ReinvestData, Price, QtdFutPrice, ... Settle, MatFut, ConvFactor, CouponRate, Maturity)
ImpliedRepo = 2×1
0.0200
0.0200
Input Arguments
ReinvestData
— Reinvestment of intervening coupons
matrix
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
Price
— Current bond price per $100 notional
scalar numeric | vector
Current bond price per $100 notional, specified as a scalar numeric or an
NINST
-by-1
vector.
Data Types: double
QtdFutPrice
— Quoted bond futures price per $100 notional
scalar numeric | vector
Quoted bond futures price per $100 notional, specified as a scalar numeric
or an NINST
-by-1
vector.
Data Types: double
Settle
— Settlement/valuation date of futures contract
serial date number | date character vector
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
MatFut
— Maturity dates (or anticipated delivery dates) of futures contract
serial date number | date character vector
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
ConvFactor
— Conversion factor
numeric
Conversion factor, specified using convfactor
.
Data Types: double
| char
| cell
CouponRate
— Underlying bond annual coupon
scalar numeric in decimal | vector in decimals
Underlying bond annual coupon, specified as a scalar numeric decimal or an
NINST
-by-1
vector of
decimals.
Data Types: double
Maturity
— Underlying bond maturity date
serial date number | date character vector
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
ImpliedRepo
— Implied annual repo rate with an actual/360 basis
vector in decimals
Implied annual repo rate (in decimals) with an actual/360 basis, returned
as a NINST
-by-1
vector.
Version History
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