|Implied repo rates for bond future given price|
|Price bond future given repo rates|
|Bond conversion factors|
|Future prices of Treasury bonds given spot price|
|Future prices of Treasury bonds given current yield|
|Implied repo rates for Treasury bond future given price|
|Calculates Treasury bond futures price given the implied repo rates|
|Calculates Treasury bond futures yield given the implied repo rates|
This example demonstrates analyzing German Euro-Bund futures traded on Eurex.
This example shows how to construct a Diebold Li model of the US yield curve for each month from 1990 to 2010.
This example shows how to hedge the interest-rate risk of a portfolio using bond futures.
Bond futures are futures contracts where the commodity for delivery is a government bond.
The Present Value of a Basis Point (PVBP) is used to manage interest-rate risk.
A stepped-coupon bond has a fixed schedule of changing coupon amounts.