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Bond Futures

Calculate price and implied repo rate for bond futures

Functions

bndfutimprepoImplied repo rates for bond future given price
bndfutpricePrice bond future given repo rates
convfactorBond conversion factors
tfutbypriceFuture prices of Treasury bonds given spot price
tfutbyyieldFuture prices of Treasury bonds given current yield
tfutimprepoImplied repo rates for Treasury bond future given price
tfutpricebyrepoCalculates Treasury bond futures price given the implied repo rates
tfutyieldbyrepoCalculates Treasury bond futures yield given the implied repo rates

Examples and How To

Concepts