Documentation

tfutimprepo

Implied repo rates for Treasury bond future given price

Description

example

ImpliedRepo = tfutimprepo(ReinvestData,Price,QtdFutPrice,Settle,MatFut,ConvFactor,CouponRate,Maturity) computes the implied repo rate that prevents arbitrage of Treasury bond futures, given the clean price at the settlement and delivery dates.

Examples

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This example shows how to compute the implied repo rate given the following set of data.

ReinvestData = [0.018  3];
Price = [114.4160; 113.1710];
QtdFutPrice = [114.1201; 113.7090];
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')];

ImpliedRepo = tfutimprepo(ReinvestData, Price, QtdFutPrice, ...
Settle, MatFut, ConvFactor, CouponRate, Maturity)
ImpliedRepo = 2×1

0.0200
0.0200

Input Arguments

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Reinvestment of intervening coupons, specified as a number of futures NFUT-by-2 matrix of rates and bases 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.

Data Types: double

Current bond price per \$100 notional, specified as a scalar numeric or an NINST-by-1 vector.

Data Types: double

Quoted bond futures price per \$100 notional, specified as a scalar numeric or an NINST-by-1 vector.

Data Types: double

Settlement/valuation 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

Output Arguments

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Implied annual repo rate (in decimals) with an actual/360 basis, returned as a NINST-by-1 vector.