Fixed-Income Toolbox™Treasury Bond Futures   Functions — Alphabetical List
  

Function Reference

Click for Alphabetical List Alphabetical List
Cash FlowsWork with cash flows for bond portfolios
Certificates of DepositWork with certificates of deposit
Convertible BondsWork with convertible bonds
Derivative SecuritiesWork with derivative securities
Mortgage-Backed SecuritiesWork with mortgage-backed securities
Option-Adjusted Spread ComputationsWork with option-adjusted spread computations
Stepped-Coupon BondsWork with stepped-coupon bonds
Treasury BillsWork with Treasury bills
Treasury Bond FuturesWork with treasury bond futures
Zero-Coupon InstrumentsWork with zero-coupon instruments

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Cash Flows

cfamountsCash flow and time mapping for bond portfolio

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Certificates of Deposit

cdaiAccrued interest on certificate of deposit (CD)
cdpricePrice of certificate of deposit (CD)
cdyieldYield on certificate of deposit (CD)

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Convertible Bonds

cbpricePrice convertible bond

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Derivative Securities

bkcallPrice European call option on bonds using Black's model
bkcapletPrice interest rate caplet using Black's model
bkfloorletPrice interest rate floorlet using Black's model
bkputPrice European put option on bonds using Black's model
libordurationDuration of LIBOR-based interest rate swap
liborfloat2fixedCompute par fixed-rate of swap given 3-month LIBOR data
liborpricePrice swap given swap rate

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Mortgage-Backed Securities

mbscfamountsCash flow and time mapping for mortgage pool
mbsconvpConvexity of mortgage pool given price
mbsconvyConvexity of mortgage pool given yield
mbsdurpDuration of mortgage pool given price
mbsduryDuration of mortgage pool given yield
mbsnoprepayEnd-of-month mortgage cash flows and balances without prepayment
mbspassthroughMortgage pool cash flows and balances with prepayment
mbspriceMortgage-backed security price given yield
mbsprice2speedImplied PSA prepayment speeds given price
mbswalWeighted average life of mortgage pool
mbsyieldMortgage-backed security yield given price
mbsyield2speedImplied PSA prepayment speeds given yield
psaspeed2defaultBenchmark default
psaspeed2rateSingle monthly mortality rate given PSA speed

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Option-Adjusted Spread Computations

mbsoas2pricePrice given option-adjusted spread
mbsoas2yieldYield given option-adjusted spread
mbsprice2oasOption-adjusted spread given price
mbsyield2oasOption-adjusted spread given yield

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Stepped-Coupon Bonds

stepcpncfamountsCash flow amounts and times for bonds and stepped coupons
stepcpnpricePrice bond with stepped coupons
stepcpnyieldYield to maturity of bond with stepped coupons

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Treasury Bills

tbilldisc2yieldConvert Treasury bill discount to equivalent yield
tbillpricePrice Treasury bill
tbillrepoBreak-even discount of repurchase agreement
tbillval01Value of one basis point
tbillyieldYield on Treasury bill
tbillyield2discConvert Treasury bill yield to equivalent discount

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Treasury Bond Futures

convfactorTreasury bond conversion factors
tfutbypriceFuture prices of Treasury bonds given spot price
tfutbyyieldFuture prices of Treasury bonds given current yield
tfutimprepoImplied simple annual repurchase rate to prevent arbitrage
tfutpricebyrepoTheoretical futures bond price
tfutyieldbyrepoTheoretical futures bond yield

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Zero-Coupon Instruments

zeropricePrice zero-coupon instruments given yield
zeroyieldYield of zero-coupon instruments given price
  

Treasury Bond FuturesTreasury Bond Futures Functions — Alphabetical ListFunctions — Alphabetical List

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