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tfutpricebyrepo

Calculates Treasury bond futures price given the implied repo rates

Syntax

[QtdFutPrice,AccrInt] = tfutpricebyrepo(RepoData,ReinvestData,Price,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.

Price

Quoted clean prices 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

[QtdFutPrice,AccrInt] = tfutpricebyrepo(RepoData,ReinvestData,Price,Settle,MatFut,ConvFactor,CouponRate,Maturity) computes the theoretical futures bond price given the settlement price, the repo/funding rates, and the reinvestment rate.

QtdFutPrice is the quoted futures price, per $100 notional.

AccrInt is the accrued interest due at the delivery date, per $100 notional.

Examples

collapse all

This example shows how to compute the quoted futures price and accrued interest due on the target delivery date, given the following data.

RepoData     = [0.020  2];
ReinvestData = [0.018  3];
Price        = [114.416; 113.171];
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')];
 
[QtdFutPrice AccrInt] = tfutpricebyrepo(RepoData, ... 
ReinvestData, Price, Settle, MatFut, ConvFactor, CouponRate, ... 
Maturity)
QtdFutPrice = 

  114.1201
  113.7090

AccrInt = 

    1.9891
    0.4448

Introduced before R2006a

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