bndfutimprepo - Implied repo rates for bond future given price

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.

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.