tfutpricebyrepo
Calculates Treasury bond futures price given the implied repo rates
Description
[
computes the theoretical futures bond price given the settlement price, the
repo/funding rates, and the reinvestment rate.QtdFutPrice
,AccrInt
] = tfutpricebyrepo(RepoData
,ReinvestData
,Price
,Settle
,MatFut
,ConvFactor
,CouponRate
,Maturity
)
Examples
Compute Treasury Bond Futures Price Given the Implied Repo Rates
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 = datetime(2002,11,15); MatFut = [datetime(2002,12,15) ; datetime(2003,3,15)]; ConvFactor = [1 ; 0.9854]; CouponRate = [0.06;0.0575]; Maturity = [datetime(2009,8,15) ; datetime(2010,8,15)]; [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
RepoData
— Simple term repo/funding rates
matrix
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
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
Settle
— Settlement/valuation date of futures contract
datetime array | string array | date character vector
Settlement/valuation date of futures contract, specified as a scalar or an
NINST
-by-1
vector using a datetime
array, string array, or date character vectors.
To support existing code, tfutpricebyrepo
also
accepts serial date numbers as inputs, but they are not recommended.
MatFut
— Maturity dates (or anticipated delivery dates) of futures contract
datetime array | string array | date character vector
Maturity dates (or anticipated delivery dates) of futures contract,
specified as a scalar or an NINST
-by-1
vector using a datetime array, string array, or date character
vectors.
To support existing code, tfutpricebyrepo
also
accepts serial date numbers as inputs, but they are not recommended.
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
datetime array | string array | date character vector
Underlying bond maturity date, specified as a scalar or an
NINST
-by-1
vector using a datetime
array, string array, or date character vectors.
To support existing code, tfutpricebyrepo
also
accepts serial date numbers as inputs, but they are not recommended.
Output Arguments
QtdFutPrice
— Quoted futures price, per $100 notional
vector
Quoted futures price, per $100 notional, returned as a
NINST
-by-1
vector.
AccrInt
— Accrued Interest due at delivery date, per $100 notional
vector
Accrued Interest due at delivery date, per $100 notional, returned as a
NINST
-by-1
vector.
Version History
Introduced before R2006aR2022b: Serial date numbers not recommended
Although tfutpricebyrepo
supports serial date numbers,
datetime
values are recommended instead. The
datetime
data type provides flexible date and time
formats, storage out to nanosecond precision, and properties to account for time
zones and daylight saving time.
To convert serial date numbers or text to datetime
values, use the datetime
function. For example:
t = datetime(738427.656845093,"ConvertFrom","datenum"); y = year(t)
y = 2021
There are no plans to remove support for serial date number inputs.
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