tfutpricebyrepo

Calculates Treasury bond futures price given the implied repo rates

Syntax

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

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.

Examples

Compute Treasury Bond Futures Price Given the Implied Repo Rates

This example shows how to 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       = datetime(2002,11,15); 
MatFut       = [datetime(2002,12,15) ; datetime(2003,3,15)];
ConvFactor   = [1 ; 0.9854];
CouponRate   = [0.06;0.0575];
Maturity     = [datetime(2009,8,15) ; datetime(2010,8,15)];
 
[QtdFutPrice AccrInt] = tfutpricebyrepo(RepoData, ... 
ReinvestData, Price, Settle, MatFut, ConvFactor, CouponRate, ... 
Maturity)

QtdFutPrice = 2×1

  114.1201
  113.7090

AccrInt = 2×1

    1.9891
    0.4448

Input Arguments

RepoData — Simple term repo/funding rates

matrix

Simple term repo/funding rates, specified as a number of futures NFUT-by-2 matrix of rates in decimal and their bases in the form of [RepoRate RepoBasis].

Specify RepoBasis as 2 = actual/360 or 3 = actual/365.

Data Types: double

ReinvestData — Reinvestment of intervening coupons

matrix

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

Price — Current bond price per $100 notional

scalar numeric | vector

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

Data Types: double

Settle — Settlement/valuation date of futures contract

datetime array | string array | date character vector

Settlement/valuation date of futures contract, specified as a scalar or an NINST-by-1 vector using a datetime array, string array, or date character vectors.

To support existing code, tfutpricebyrepo also accepts serial date numbers as inputs, but they are not recommended.

MatFut — Maturity dates (or anticipated delivery dates) of futures contract

datetime array | string array | date character vector

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

To support existing code, tfutpricebyrepo also accepts serial date numbers as inputs, but they are not recommended.

ConvFactor — Conversion factor

numeric

Conversion factor, specified using convfactor.

Data Types: double | char | cell

CouponRate — Underlying bond annual coupon

scalar numeric in decimal | vector in decimals

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

Data Types: double

Maturity — Underlying bond maturity date

datetime array | string array | date character vector

Underlying bond maturity date, specified as a scalar or an NINST-by-1 vector using a datetime array, string array, or date character vectors.

To support existing code, tfutpricebyrepo also accepts serial date numbers as inputs, but they are not recommended.

Output Arguments

QtdFutPrice — Quoted futures price, per $100 notional

vector

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

AccrInt — Accrued Interest due at delivery date, per $100 notional

vector

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

More About

Implied Repo Rate

The implied repo rate indicates the cost of financing a security through a repo transaction, where one party sells a security to another with an agreement to repurchase it later at a higher price.

Version History

Introduced before R2006a

R2022b: Serial date numbers not recommended

Although tfutpricebyrepo supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.