tfutyieldbyrepo
Calculates Treasury bond futures yield given the implied repo rates
Syntax
Description
computes the theoretical futures bond yield given the settlement yield, the
repo/funding rate, and the reinvestment rate.FwdYield
= tfutyieldbyrepo(RepoData
,ReinvestData
,Yield
,Settle
,MatFut
,ConvFactor
,CouponRate
,Maturity
)
Examples
Compute the Treasury Bond Futures Yield Given the Implied Repo Rates
This example shows how to compute the quoted futures bond yield, given the following data.
RepoData = [0.020 2]; ReinvestData = [0.018 3]; Yield = [0.0215; 0.0257]; 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)]; FwdYield = tfutyieldbyrepo(RepoData, ReinvestData, Yield,... Settle, MatFut, ConvFactor, CouponRate, Maturity)
FwdYield = 2×1
0.0221
0.0282
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
Yield
— Yield to maturity of Treasury bonds per $100 notional at Settle
scalar numeric | vector
Yield to maturity of Treasury bonds per $100 notional at
Settle
, 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, tfutyieldbyrepo
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, tfutyieldbyrepo
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, tfutyieldbyrepo
also
accepts serial date numbers as inputs, but they are not recommended.
Output Arguments
FwdYield
— Forward yield to maturity compounded semiannually
vector in decimals
Forward yield to maturity, in decimals, compounded semiannually, returned
as a NINST
-by-1
vector.
Version History
Introduced before R2006aR2022b: Serial date numbers not recommended
Although tfutyieldbyrepo
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.
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