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| R2012a Documentation → Fixed-Income Toolbox | |
Learn more about Fixed-Income Toolbox |
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| Contents | Index |
FwdYield = tfutyieldbyrepo(RepoData, ReinvestData, Yield, Settle, MatFut, ConvFactor, CouponRate, Maturity)
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 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.
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.
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
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