tfutyieldbyrepo
Calculates Treasury bond futures yield given the implied repo rates
Syntax
Description
computes the theoretical futures bond yield given the settlement yield, the
repo/funding rate, and the reinvestment rate.FwdYield
= tfutyieldbyrepo(RepoData
,ReinvestData
,Yield
,Settle
,MatFut
,ConvFactor
,CouponRate
,Maturity
)
Examples
Compute the Treasury Bond Futures Yield Given the Implied Repo Rates
This example shows how to compute the quoted futures bond yield, given the following data.
RepoData = [0.020 2]; ReinvestData = [0.018 3]; Yield = [0.0215; 0.0257]; 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')]; FwdYield = tfutyieldbyrepo(RepoData, ReinvestData, Yield,... Settle, MatFut, ConvFactor, CouponRate, Maturity)
FwdYield = 2×1
0.0221
0.0282
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
Yield
— Yield to maturity of Treasury bonds per $100 notional at Settle
scalar numeric | vector
Yield to maturity of Treasury bonds per $100 notional at
Settle
, 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
FwdYield
— Forward yield to maturity compounded semiannually
vector in decimals
Forward yield to maturity, in decimals, compounded semiannually, returned
as a NINST
-by-1
vector.
Version History
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