Fixed-Income Toolbox™

tfutbyprice - Future prices of Treasury bonds given spot price

Syntax

QtdFutPrice = tfutbyprice(SpotCurve, Price, SettleFut, MatFut, 
ConvFactor, CouponRate, Maturity, Interpolation)

Arguments

`SpotCurve`	Treasury spot curve; a number of futures (`NFUT`) by `3` matrix in the form of `[SpotDates SpotRates Compounding]`. Allowed compounding values are -1, 1, 2 (default), 3, 4, and 12.
`Price`	Scalar or vector containing prices of Treasury bonds or notes per $100 notional. Use `bndprice` for theoretical value of bond.
`SettleFut`	Scalar or vector of identical elements containing settlement date of futures contract.
`MatFut`	Scalar or vector containing maturity dates (or anticipated delivery dates) of futures contract.
`ConvFactor`	Conversion factor. See `convfactor`.
`CouponRate`	Scalar or vector containing underlying bond annual coupon in decimal.
`Maturity`	Scalar or vector containing underlying bond maturity.
`Interpolation`	(Optional) Interpolation method. Available methods are (0) nearest, (1) linear, and (2) cubic. Default = 1. See `interp1` for more information.

Inputs (except SpotCurve) must either be a scalar or a vector of size equal to the number of Treasury futures (NFUT) by 1 or 1-by-NFUT.

Description

QtdFutPrice = tfutbyprice(SpotCurve, Price, SettleFut, MatFut, ConvFactor, CouponRate, Maturity, Interpolation) computes future prices of Treasury notes and bonds given the spot price.

Examples

Determine the future price of two Treasury bonds based upon a spot rate curve constructed from data for November 14, 2002.

% Constructing spot curve from Nov 14, data
Bonds = [datenum('02/13/2003'),        0;
         datenum('05/15/2003'),        0;
         datenum('10/31/2004'),  0.02125;
         datenum('11/15/2007'),     0.03;
         datenum('11/15/2012'),     0.04;
         datenum('02/15/2031'),  0.05375];

Yields  = [1.20; 1.25; 1.86; 2.99; 4.02; 4.93]/100;     

Settle = datenum('11/15/2002');                  

[ZeroRates, CurveDates] = ...
zbtyield(Bonds, Yields, Settle);

SpotCurve  = [CurveDates, ZeroRates];

% Calculating a particular bond's future quoted price
RefDate    = [datenum('1-Dec-2002'); datenum('1-Mar-2003')];
MatFut     = [datenum('15-Dec-2002'); datenum('15-Mar-2003')];
Maturity   = [datenum('15-Aug-2009');datenum('15-Aug-2010')];
CouponRate = [0.06;0.0575];
ConvFactor = convfactor(RefDate, Maturity, CouponRate);
Price = [114.416; 113.171];
Interpolation = 1;

QtdFutPrice = tfutbyprice(SpotCurve, Price, Settle, ...
MatFut, ConvFactor, CouponRate, Maturity, Interpolation)

QtdFutPrice =

  114.0409
  113.4029

This compares with closing prices of 113.93 and 112.68. The differences are expected due to the nature of the contract and data that is not directly comparable.

tfutbyprice - Future prices of Treasury bonds given spot price

Syntax

Arguments

Description

Examples

See Also