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bndfutprice - Price bond future given repo rates

Syntax

[FutPrice,AccrInt] = bndfutprice(RepoRate, Price, FutSettle,
Delivery, ConvFactor, CouponRate, Maturity)
FutPrice,AccrInt] = bndfutprice(RepoRate, FutPrice, FutSettle,
Delivery, ConvFactor, CouponRate, Maturity,
'ParameterName','ParameterValue ...)

Description

[FutPrice,AccrInt] = bndfutprice(RepoRate, Price, FutSettle, Delivery, ConvFactor, CouponRate, Maturity) computes the price of a bond futures contract for one or more bonds given a repo rate, and bond properties, including the bond conversion factor.

FutPrice,AccrInt] = bndfutprice(RepoRate, FutPrice, FutSettle, Delivery, ConvFactor, CouponRate, Maturity, 'ParameterName','ParameterValue ...) accepts optional inputs as one or more comma-separated parameter/value pairs. 'ParameterName' is the name of the parameter inside single quotes. ParameterValue is the value corresponding to 'ParameterName'. Specify parameter-value pairs in any order. Names are case-insensitive.

Input Arguments

RepoRate

numBonds-by-1 vector of repo rates.

Price

numBonds-by-1 vector of bond 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.

Parameter–Value Pairs

Basis

Day-count basis. Possible values include

  • 0 = actual/actual (default)

  • 1 = 30/360 (SIA)

  • 2 = actual/360

  • 3 = actual/365

  • 4 = 30/360 (BMA)

  • 5 = 30/360 (ISDA)

  • 6 = 30/360 (European)

  • 7 = actual/365 (Japanese)

  • 8 = actual/actual (ICMA)

  • 9 = actual/360 (ICMA)

  • 10 = actual/365 (ICMA)

  • 11 = 30/360E (ICMA)

  • 12 = actual/actual (ISDA)

  • 13 = BUS/252

For more information, see basis.

Default: 0

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

IssueDate

Issue date for a bond.

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.

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 reinvestment rate.

Default: Identical to RepoBasis.

ReinvestRate

Compounding convention for reinvestment rate.

Default: Identical to RepoRate.

RepoBasis

Day count basis for RepoRate.

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.

Output Arguments

FutPrice

Quoted futures price, per $100 notional.

AccrInt

Accrued interest due at delivery date, per $100 notional.

Definitions

bndfutprice computes the price of a bond futures contract for one or more bonds, given a repo rate, and bond properties, including the bond conversion factor. The default behavior is that the coupon reinvestment rate matches the repo rate. However, you can specify a separate reinvestment rate using optional inputs.

Examples

Compute the price for a bond future:

bndfutprice(.064, 129, '9/21/2000','12/29/2000', 1.3136, .0875, '8/15/2020')

The returns:

ans =
   98.1516

References

Burghardt, G., T. Belton, M. Lane, and J. Papa, The Treasury Bond Basis, McGraw-Hill, 2005.

Krgin, Dragomir, Handbook of Global Fixed Income Calculations, John Wiley & Sons, 2002.

See Also

bndfutimprepo | convfactor

How To

  

 

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