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tfutimprepo

Implied repo rates for Treasury bond future given price

Syntax

ImpliedRepo = tfutimprepo(ReinvestData,Price,QtdFutPrice,Settle,MatFut,ConvFactor,CouponRate,Maturity)

Arguments

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.

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.

Description

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.

Examples

collapse all

This example shows how to 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

Introduced before R2006a

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