This is machine translation

Translated by

Mouseover text to see original. Click the button below to return to the English version of the page.

Note: This page has been translated by MathWorks. Click here to see
To view all translated materials including this page, select Country from the country navigator on the bottom of this page.

Bond Futures

Calculate price and implied repo rate for bond futures

Functions

`bndfutimprepo`	Implied repo rates for bond future given price
`bndfutprice`	Price bond future given repo rates
`convfactor`	Bond conversion factors
`tfutbyprice`	Future prices of Treasury bonds given spot price
`tfutbyyield`	Future prices of Treasury bonds given current yield
`tfutimprepo`	Implied repo rates for Treasury bond future given price
`tfutpricebyrepo`	Calculates Treasury bond futures price given the implied repo rates
`tfutyieldbyrepo`	Calculates Treasury bond futures yield given the implied repo rates

Examples and How To

Analysis of Bond Futures

This example demonstrates analyzing German Euro-Bund futures traded on Eurex.

Managing Interest-Rate Risk with Bond Futures

This example shows how to hedge the interest-rate risk of a portfolio using bond futures.

Fitting the Diebold Li Model

This example shows how to construct a Diebold Li model of the US yield curve for each month from 1990 to 2010.

Managing Interest-Rate Risk with Bond Futures

This example shows how to hedge the interest-rate risk of a portfolio using bond futures.

Concepts

Bond Futures

Bond futures are futures contracts where the commodity for delivery is a government bond.

Managing Present Value with Bond Futures

The Present Value of a Basis Point (PVBP) is used to manage interest-rate risk.

Stepped-Coupon Bonds

A stepped-coupon bond has a fixed schedule of changing coupon amounts.

Financial Instruments Toolbox Documentation

Support

A Practical Guide to Modeling Financial Risk with MATLAB

Download ebook