Fixed-Income Toolbox™

tfutbyyield - Future prices of Treasury bonds given current yield

Syntax

QtdFutPrice = tfutbyyield(SpotCurve, Yield, 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.
`Yield`	Scalar or vector containing yield to maturity of bonds. Use `bndyield` for theoretical value of bond yield.
`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 = tfutbyyield(SpotCurve, Yield, SettleFut, MatFut, ConvFactor, CouponRate, Maturity, Interpolation) computes future prices of Treasury notes and bonds given current yields of Treasury bonds/notes.

In addition, you can use the Fixed-Income Toolbox method getZeroRates for an IRDataCurve object with a Dates property to create a vector of dates and data acceptable for tfutbyyield. For more information, see Converting an IRDataCurve or IRFunctionCurve Object.

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);
Yield = [0.03576; 0.03773];
Interpolation = 1;

QtdFutPrice = tfutbyyield(SpotCurve, Yield, Settle, ...
MatFut, ConvFactor, CouponRate, Maturity, Interpolation)

QtdFutPrice =

  114.0416
  113.4034

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

tfutbyyield - Future prices of Treasury bonds given current yield

Syntax

Arguments

Description

Examples

See Also