| Fixed-Income Toolbox™ | |
ConvFactor = convfactor(RefDate, Maturity, CouponRate, RefYield, Convention)
| RefDate | Reference dates, for which conversion factor is computed (usually the first day of delivery months). |
| Maturity | Maturity date of underlying bond. |
| CouponRate | Annual coupon rate of underlying bond in decimal. |
| RefYield | (Optional) Reference semiannual yield. Default = 0.06 (6%). |
| Convention | (Optional) Conversion factor convention. Scalar. Valid values are: 1 = U.S. Treasury bond (20-year) and Treasury note (10-year ) futures contract (default). 2 = U.S. 2-year and 5-year Treasury note futures contract. |
ConvFactor = convfactor(RefDate, Maturity, CouponRate, RefYield, Convention) computes conversion factors based on a reference 6% semiannual yield.
Note You can verify the output of this function by comparing the output against the quotations provided by the Chicago Board of Trade (http://www.cbot.com). |
RefDate = [datenum('1-Dec-2002');
datenum('1-Mar-2003');
datenum('1-Jun-2003');
datenum('1-Sep-2003');
datenum('1-Dec-2003');
datenum('1-Sep-2003');
datenum('1-Dec-2002');
datenum('1-Jun-2003')];
Maturity = [datenum('15-Nov-2012');
datenum('15-Aug-2012');
datenum('15-Feb-2012');
datenum('15-Feb-2011');
datenum('15-Aug-2011');
datenum('15-Aug-2010');
datenum('15-Aug-2009');
datenum('15-Feb-2010')];
CouponRate = [0.04; 0.04375; 0.04875; 0.05;
0.05; 0.0575; 0.06; 0.065];
ConvFactor = convfactor(RefDate, Maturity, CouponRate)
ConvFactor =
0.8539
0.8858
0.9259
0.9418
0.9403
0.9862
1.0000
1.0266
| cfamounts | fitFunction | |
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