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tfutbyyield

Future prices of Treasury bonds given current yield

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Syntax

[qtdfutprice，accrint] = tfutbyyield（SpotCurve,Yield,SettleFut,MatFut,ConvFactor,CouponRate,Maturity)
[qtdfutprice，accrint] = tfutbyyield（___,Interpolation)

Description

example

[qtdfutprice,AccrInt] = tfutbyyield(SpotCurve,Yield,SettleFut,MatFut,对称器,优惠券比例,Maturity)computes prices of Treasury bond futures given a spot curve and bond yields at settlement.

此外，您可以使用Financial Instruments Toolbox™方法getzeratesfor anIRDataCurve带有A的对象日期属性创建一个可接受的日期和数据向量tfutbyyield. For more information, see转换IRDATACURVE或IRFUNCTICTCURVE对象.

example

[qtdfutprice,AccrInt] = tfutbyyield(___,插值)specifies options using one or more optional arguments in addition to the input arguments in the previous syntax.

Examples

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打开实时脚本

This example shows how to determine the future price of two Treasury bonds based upon a spot rate curve constructed from data for November 14, 2002.

％构造点曲线从11月14日起数据债券= [datenum（'02/13/2003'），0;datenum（'05/15/2003'），0;datenum（'10/31/2004'), 0.02125; datenum('11/15/2007'), 0.03; datenum('11/15/2012'), 0.04; datenum('02/15/2031'), 0.05375]; Yields = [1.20; 1.25; 1.86; 2.99; 4.02; 4.93]/100; Settle = datenum('11/15/2002'）；[Zerorates，Curvedates] =...zbtyield(Bonds, Yields, Settle); SpotCurve = [CurveDates, ZeroRates];% calculate a particular bond's future quoted pricerefdate = [datenum（'1-DEC-2002'）；datenum（'1-Mar-2003')]; MatFut = [datenum('15-Dec-2002'）；datenum（'15-Mar-2003')]; Maturity = [datenum('15-Aug-2009'）；datenum（'15-Aug-2010')]; CouponRate = [0.06;0.0575]; ConvFactor = convfactor(RefDate, Maturity, CouponRate); Yield = [0.03576; 0.03773]; Interpolation = 1; [QtdFutPrice, AccrInt] = tfutbyyield(SpotCurve, Yield, Settle,...MatFut,对称器, CouponRate, Maturity, Interpolation)
qtdfutprice=2×1114.0416 113.4034
accrint =2×11.9891 0.4448

Input Arguments

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财政点曲线，使用以下表格之一指定为许多期货：

  • NFUT-经过-2矩阵的形式[SpotDates SpotRates]这些点率必须引用为半年度复合（2) when the third column is not supplied.

  • NFUT-经过-3矩阵的形式[SpotDates SpotRates Compounding], where allowedCompoundingvalues for the third column are−1,1,2(default),3,4， 和12, where−1is continuous compounding.

Data Types:double

Yield to maturities at settlement date, specified as a scalar numeric or anNinst-经过-1向量。Usebndyieldfor theoretical value of bond yield.

Data Types:double

期货合约的结算日期，指定为标量或Ninst-经过-1vector of serial date numbers or date character vectors.

Data Types:double|char|cell

期货合约的到期日期（或预期交货日期）, specified as a scalar or anNinst-经过-1vector of serial date numbers or date character vectors.

Data Types:double|char|cell

转换因子，使用convfactor.

Data Types:double|char|cell

基础债券年度优惠券，指定为标量数字十进制或Ninst-经过-1小数的向量。

Data Types:double

Underlying bond maturity date, specified as a scalar or anNinst-经过-1vector of serial date numbers or date character vectors.

Data Types:double|char|cell

（可选的）插值方法计算债券现金流的相应现货率，指定为NMBS-经过-1向量。可用方法是（0) nearest, (1) linear, and (2) cubic spline. For more information on the supported interpolation methods, seeinterp1.

Data Types:double

Output Arguments

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Quoted futures price, per $100 notional, returned as aNinst-经过-1向量。

Accrued Interest due at delivery date, per $100 notional, returned as aNinst-经过-1向量。

Version History

在R2006a之前引入

See Also

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