Fixed-Income Toolbox™

tfutyieldbyrepo - Theoretical futures bond yield

Syntax

FwdYield = tfutyieldbyrepo(RepoData, ReinvestData, Yield, Settle, 
MatFut, ConvFactor, CouponRate, Maturity)

Arguments

`RepoData`	Number of futures (`NFUT`) by `2` matrix of simple term repo/funding rates in decimal and their bases in the form of `[RepoRate RepoBasis]`. Specify `RepoBasis` as 2 = actual/360 or 3 = actual/365.
`ReinvestData`	Number of futures (`NFUT`) by `2` matrix of rates and bases for the reinvestment of intervening coupons 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.
`Yield`	Yield to maturity of Treasury bonds per $100 notional at `Settle`.
`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 RepoData and 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.

Description

FwdYield = tfutyieldbyrepo(RepoData, ReinvestData, Yield, Settle, MatFut, ConvFactor, CouponRate, Maturity) computes the theoretical futures bond yield given the settlement yield, the repo/funding rate, and the reinvestment rate.

FwdYield is the forward yield to maturity, in decimal, compounded semiannually.

Examples

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 =

    0.0221
    0.0282

tfutyieldbyrepo - Theoretical futures bond yield

Syntax

Arguments

Description

Examples

See Also