tfutbyyield

Future prices of Treasury bonds given current yield

Description

example

[QtdFutPrice,AccrInt] = tfutbyyield(SpotCurve,Yield,SettleFut,MatFut,ConvFactor,CouponRate,Maturity) computes prices of Treasury bond futures given a spot curve and bond yields at settlement.

In addition, you can use the Financial Instruments Toolbox™ method getZeroRates for an IRDataCurve object with a Dates property to create a vector of dates and data acceptable for tfutbyyield. For more information, see Converting an IRDataCurve or IRFunctionCurve Object.

example

[QtdFutPrice,AccrInt] = tfutbyyield(___,Interpolation) specifies options using one or more optional arguments in addition to the input arguments in the previous syntax.

Examples

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This example shows how to determine the future price of two Treasury bonds based upon a spot rate curve constructed from data for November 14, 2002.

% construct spot curve from Nov 14, data
Bonds = [datenum('02/13/2003'),        0;
         datenum('05/15/2003'),        0;
         datenum('10/31/2004'),  0.02125;
         datenum('11/15/2007'),     0.03;
         datenum('11/15/2012'),     0.04;
         datenum('02/15/2031'),  0.05375];

Yields  = [1.20; 1.25; 1.86; 2.99; 4.02; 4.93]/100;

Settle = datenum('11/15/2002');

[ZeroRates, CurveDates] = ...
zbtyield(Bonds, Yields, Settle);

SpotCurve  = [CurveDates, ZeroRates];

% calculate a particular bond's future quoted price
RefDate    = [datenum('1-Dec-2002'); datenum('1-Mar-2003')];
MatFut     = [datenum('15-Dec-2002'); datenum('15-Mar-2003')];
Maturity   = [datenum('15-Aug-2009');datenum('15-Aug-2010')];
CouponRate = [0.06;0.0575];
ConvFactor = convfactor(RefDate, Maturity, CouponRate);
Yield = [0.03576; 0.03773];
Interpolation = 1;

[QtdFutPrice, AccrInt] = tfutbyyield(SpotCurve, Yield, Settle, ...
MatFut, ConvFactor, CouponRate, Maturity, Interpolation)
QtdFutPrice = 2×1

  114.0416
  113.4034

AccrInt = 2×1

    1.9891
    0.4448

Input Arguments

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Treasury spot curve, specified as a number of futures using one of the following forms:

  • NFUT-by-2 matrix in the form of [SpotDates SpotRates] and these spot rates must be quoted as semiannual compounding (2) when the third column is not supplied.

  • NFUT-by-3 matrix in the form of [SpotDates SpotRates Compounding], where allowed Compounding values for the third column are −1, 1, 2 (default), 3, 4, and 12, where −1 is continuous compounding.

Data Types: double

Yield to maturities at settlement date, specified as a scalar numeric or an NINST-by-1 vector. Use bndyield for theoretical value of bond yield.

Data Types: double

Settlement date of futures contract, specified as a scalar or an NINST-by-1 vector of serial date numbers or date character vectors.

Data Types: double | char | cell

Maturity dates (or anticipated delivery dates) of futures contract, specified as a scalar or an NINST-by-1 vector of serial date numbers or date character vectors.

Data Types: double | char | cell

Conversion factor, specified using convfactor.

Data Types: double | char | cell

Underlying bond annual coupon, specified as a scalar numeric decimal or an NINST-by-1 vector of decimals.

Data Types: double

Underlying bond maturity date, specified as a scalar or an NINST-by-1 vector of serial date numbers or date character vectors.

Data Types: double | char | cell

(Optional) Interpolation method to compute the corresponding spot rates for the bond's cash flow, specified as an NMBS-by-1 vector. Available methods are (0) nearest, (1) linear, and (2) cubic spline. For more information on the supported interpolation methods, see interp1.

Data Types: double

Output Arguments

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Quoted futures price, per $100 notional, returned as a NINST-by-1 vector.

Accrued Interest due at delivery date, per $100 notional, returned as a NINST-by-1 vector.

See Also

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Topics

Introduced before R2006a