tfutbyyield

Future prices of Treasury bonds given current yield

Syntax

[QtdFutPrice, AccrInt] = 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, where -1 is continuous compounding.

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, AccrInt] = tfutbyyield(SpotCurve, Yield, SettleFut, MatFut, ConvFactor, CouponRate, Maturity, Interpolation) computes future prices of Treasury notes and bonds given current yields of Treasury bonds/notes. The output arguments are:

  • QtdFutPrice — Quoted futures price, per $100 notional.

  • AccrInt — Accrued Interest due at delivery date, per $100 notional.

In addition, you can use the Financial Instruments 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

expand all

Determine Future Prices of Treasury Bonds Given the Current Yield

This example shows how to determine the future price of two Treasury bonds based upon a spot rate curve constructed from data for November 14, 2002.

% construct 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];

% calculate 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, AccrInt] = tfutbyyield(SpotCurve, Yield, Settle, ...
MatFut, ConvFactor, CouponRate, Maturity, Interpolation)
QtdFutPrice =

  114.0416
  113.4034


AccrInt =

    1.9891
    0.4448

Was this topic helpful?