tfutimprepo

Implied repo rates for Treasury bond future given price

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.

Examples

Compute the Implied Repo Rates for Treasury Bond Futures Given the Price

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

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

QtdFutPrice — Quoted bond futures price per $100 notional

scalar numeric | vector

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

Output Arguments

ImpliedRepo — Implied annual repo rate with an actual/360 basis

vector in decimals

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

Version History

Introduced before R2006a

R2022b: Serial date numbers not recommended

Although tfutimprepo 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.