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tfutimprepo

Implied repo rates for Treasury bond future given price

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Syntax

ImpliedRepo = tfutimprepo(ReinvestData,Price,QtdFutPrice,Settle,MatFut,ConvFactor,CouponRate,Maturity)

Description

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.

example

Examples

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Open Live Script

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 = 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)];
 
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 using a datetime array, string array, or date character vectors.

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

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, tfutimprepo also accepts serial date numbers as inputs, but they are not recommended.

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 using a datetime array, string array, or date character vectors.

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

Output Arguments

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

Version History

Introduced before R2006a

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See Also

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