Fixed-Income Toolbox™

tfutpricebyrepo - Theoretical futures bond price

Syntax

[QtdFutPrice AccrInt] = tfutpricebyrepo(RepoData, ReinvestData, 
Price, Settle, MatFut, ConvFactor, CouponRate, Maturity)

Arguments

`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 ReinvestBasis]`. `ReinvestRate` is the simple reinvestment rate, in decimal. Specify `ReinvestBasis` as 0 = not reinvested, 2 = actual/360, or 3 = actual/365.
`Price`	Quoted clean prices 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.

Description

[QtdFutPrice AccrInt] = tfutpricebyrepo(RepoData, ReinvestData, Price, Settle, MatFut, ConvFactor, CouponRate, Maturity) computes the theoretical futures bond price given the settlement price, the repo/funding rates, and the reinvestment rate.

QtdFutPrice is the quoted futures price, per $100 notional.

AccrInt is the accrued interest due at the delivery date, per $100 notional.

Examples

Compute the quoted futures price and accrued interest due on the target delivery date, given the following data.

RepoData     = [0.020  2];
ReinvestData = [0.018  3];
Price        = [114.416; 113.171];
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')];
 
[QtdFutPrice AccrInt] = tfutpricebyrepo(RepoData, ... 
ReinvestData, Price, Settle, MatFut, ConvFactor, CouponRate, ... 
Maturity)

QtdFutPrice =

  114.1201
  113.7090

AccrInt =

    1.9891
    0.4448

tfutpricebyrepo - Theoretical futures bond price

Syntax

Arguments

Description

Examples

See Also