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bndfutimprepo

Implied repo rates for bond future given price

Syntax

ImpRepo = bndfutimprepo(Price,FutPrice,FutSettle,Delivery,ConvFactor,CouponRate,Maturity)
ImpRepo = bndfutimprepo(Price,FutPrice,FutSettle,Delivery,ConvFactor,CouponRate,Maturity,'ParameterName',ParameterValue, ...)

Description

ImpRepo = bndfutimprepo(Price,FutPrice,FutSettle,Delivery,ConvFactor,CouponRate,Maturity) computes the implied repo rate for a bond future given the price of a bond, the bond properties, the price of the bond future, and the bond conversion factor. The default behavior is that the coupon reinvestment rate matches the repo rate. However, you can specify a separate reinvestment rate using optional inputs.

ImpRepo = bndfutimprepo(Price,FutPrice,FutSettle,Delivery,ConvFactor,CouponRate,Maturity,'ParameterName',ParameterValue, ...) accepts optional inputs as one or more comma-separated parameter/value pairs. 'ParameterName' is the name of the parameter inside single quotes. ParameterValue is the value corresponding to 'ParameterName'. Specify parameter-value pairs in any order. Names are case-insensitive.

Input Arguments

Price

numBonds-by-1 vector of bond prices.

FutPrice

numBonds-by-1 vector of future prices

FutSettle

numBonds-by-1 vector of future settle dates.

Delivery

numBonds-by-1 vector of future delivery dates.

ConvFactor

numBonds-by-1 vector of bond conversion factors. For more information, see convfactor.

CouponRate

numBonds-by-1 vector of coupon rates in decimal form.

Maturity

numBonds-by-1 vector of coupon rates in decimal form.

Parameter–Value Pairs

Basis

Day-count basis. Possible values include

  • 0 = actual/actual (default)

  • 1 = 30/360 (SIA)

  • 2 = actual/360

  • 3 = actual/365

  • 4 = 30/360 (BMA)

  • 5 = 30/360 (ISDA)

  • 6 = 30/360 (European)

  • 7 = actual/365 (Japanese)

  • 8 = actual/actual (ICMA)

  • 9 = actual/360 (ICMA)

  • 10 = actual/365 (ICMA)

  • 11 = 30/360E (ICMA)

  • 12 = actual/365 (ISDA)

  • 13 = BUS/252

For more information, see basis.

Default: 0

EndMonthRule

End-of-month rule. Values are:

  • 0 — Rule is not in effect for the bond.

  • 1 — Rule is in effect for the bond. This means that a security that pays coupon interest on the last day of the month always makes payment on the last day of the month.

Default: 1

Face

Face value of the bond. Face has no impact on key rate duration. This calling sequence is preserved for consistency.

Default: 100

FirstCouponDate

Date when a bond makes its first coupon payment; used when bond has an irregular first coupon period. When FirstCouponDate and LastCouponDate are both specified, FirstCouponDate takes precedence in determining the coupon payment structure.

Default: If you do not specify a FirstCouponDate, the cash flow payment dates are determined from other inputs.

IssueDate

Issue date for a bond.

LastCouponDate

Last coupon date of a bond before the maturity date; used when bond has an irregular last coupon period. In the absence of a specified FirstCouponDate, a specified LastCouponDate determines the coupon structure of the bond. The coupon structure of a bond is truncated at the LastCouponDate, regardless of where it falls, and is followed only by the bond's maturity cash flow date.

Default: If you do not specify a LastCouponDate, the cash flow payment dates are determined from other inputs.

Period

Number of coupons payments per year. Possible values include:

  • 0

  • 1

  • 2

  • 3

  • 4

  • 6

  • 12

Default: 2

ReinvestBasis

Day count basis for resinvestment rate.

Default: Identical to RepoBasis.

ReinvestRate

Rate for reinvesting intermediate coupons from the bond.

Default: Identical to ImpRepo.

RepoBasis

Day count basis for ImpRepo.

Default: 2

StartDate

Date when a bond actually starts (the date from which a bond cash flow is considered). To make an instrument forward-starting, specify this date as a future date. If you do not specify StartDate, the effective start date is the Settle date.

Output Arguments

ImpRepo

Implied repo rate, or the repo rate that would produce the price input.

Examples

collapse all

This example shows how to compute the repro rate for a bond future using the following data.

bndfutimprepo(129,98,'9/21/2000','12/29/2000',1.3136,.0875,'8/15/2020')
ans = 0.0584

References

Burghardt, G., T. Belton, M. Lane, and J. Papa. The Treasury Bond Basis. McGraw-Hill, 2005.

Krgin, Dragomir. Handbook of Global Fixed Income Calculations. John Wiley & Sons, 2002.

Introduced in R2009b

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