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tfutyieldbyrepo

Calculates Treasury bond futures yield given the implied repo rates

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

collapse all

This example shows how to 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

Introduced before R2006a

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