| Fixed-Income Toolbox™ | |
ImpliedRepo = tfutimprepo(ReinvestData, Price, QtdFutPrice, Settle, MatFut, ConvFactor, CouponRate, Maturity)
ReinvestData | Number of futures (NFUT) by 2 matrix of rates and bases for the reinvestment of intervening
coupons in the form of ReinvestRate is the simple reinvestment rate, in decimal. Specify ReinvestBasis as 0 = not reinvested, 2 = actual/360, or 3 = actual/365. |
Price | Current bond price per $100 notional. |
QtdFutPrice | Quoted bond futures price per $100 notional. |
Settle | Settlement/valuation date of futures contract. |
MatFut | Maturity date (or anticipated delivery dates) of futures contract. |
| ConvFactor | Conversion factor. See convfactor. |
CouponRate | Underlying bond annual coupon, in decimal. |
Maturity | Underlying bond maturity date. |
Inputs (except ReinvestData) must either be a scalar or a vector of size equal to the number of Treasury futures (NFUT) by 1 or 1-by-NFUT.
ImpliedRepo = tfutimprepo(ReinvestData, Price, QtdFutPrice, Settle, MatFut, ConvFactor, CouponRate, Maturity) computes the implied repo rate that prevents arbitrage of Treasury bond futures, given the clean price at the settlement and delivery dates.
ImpliedRepo is the implied annual repo rate, in decimal, with an actual/360 basis.
Compute the implied repo rate given the following set of data.
ReinvestData = [0.018 3];
Price = [114.4160; 113.1710];
QtdFutPrice = [114.1201; 113.7090];
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')];
ImpliedRepo = tfutimprepo(ReinvestData, Price, QtdFutPrice, ...
Settle, MatFut, ConvFactor, CouponRate, Maturity)
ImpliedRepo =
0.0200
0.0200
tfutpricebyrepo, tfutyieldbyrepo
| tfutbyyield | tfutpricebyrepo | |
| © 1984-2008- The MathWorks, Inc. - Site Help - Patents - Trademarks - Privacy Policy - Preventing Piracy - RSS |