Analysis of Bond Futures
The following example demonstrates analyzing German Euro-Bund futures traded on Eurex. However,convfactor
,bndfutprice
, andbndfutimprepo
apply to bond futures in the U.S., U.K., Germany, and Japan. The workflow for this analysis is:
Calculate bond conversion factors.
Calculate implied repo rates to find the CTD bond.
Price the bond future using the term implied repo rate.
Calculating Bond Conversion Factors
Use conversion factors to normalize the price of a particular bond for delivery in a futures contract. When using conversion factors, the assumption is that a bond for delivery has a 6% coupon. Useconvfactor
to calculate conversion factors for all bond futures from the U.S., Germany, Japan, and U.K.
For example, conversion factors for Euro-Bund futures on Eurex are listed atwww.eurexchange.com
. The delivery date for Euro-Bund futures is the 10th day of the month, as opposed to bond futures in the U.S., where the short position has the option of choosing when to deliver the bond.
4%的债券,计算转换因子智慧h:
CF1 = convfactor('10-Sep-2009','04-Jul-2018', .04,.06,3)
CF1 = 0.8659
This syntax forconvfactor
works fine for bonds with standard coupon periods. However, some deliverable bonds have long or short first coupon periods. Compute the conversion factors for such bonds using the optional input parametersStartDate
andFirstCouponDate
. Specify all optional input arguments forconvfactor
as parameter/value pairs:
CF2 = convfactor('10-Sep-2009','04-Jan-2019', .0375,'Convention',3,'startdate',...datenum('14-Nov-2008'))
CF2 = 0.8426
Calculating Implied Repo Rates to Find the CTD Bond
确定最便宜的债券的可用性for deliverable bonds against a futures contract, compute the implied repo rate for each bond. The bond with the highest repo rate is the cheapest because it has the lowest initial value, thus yielding a higher return, provided you deliver it with the stated futures price. Usebndfutimprepo
to calculate repo rates:
% Bond PropertiesCouponRate = [.0425;.0375;.035]; Maturity = [datenum('04-Jul-2018');datenum('04-Jan-2019');datenum('04-Jul-2019')]; CF = [0.882668;0.842556;0.818193]; Price = [105.00;100.89;98.69];% Futures PropertiesFutSettle ='09-Jun-2009'; FutPrice = 118.54; Delivery ='10-Sep-2009';% Note that the default for BNDFUTIMPREPO is for the bonds to be% semi-annual with a day count basis of 0. Since these are German% bonds, we need to have a Basis of 8 and a Period of 1ImpRepo = bndfutimprepo(Price, FutPrice, FutSettle, Delivery, CF,...CouponRate, Maturity,'Basis',8,'Period',1)
ImpRepo = 0.0261 -0.0022 -0.0315
Pricing Bond Futures Using the Term Implied Repo Rate
Usebndfutprice
to perform price calculations for all bond futures from the U.S., Germany, Japan, and U.K. To price the bond, given a term repo rate:
% Assume a term repo rate of .0091;RepoRate = .0091; [FutPrice,AccrInt] = bndfutprice(RepoRate, Price(1), FutSettle,...Delivery, CF(1), CouponRate(1), Maturity(1),...'Basis',8,'Period',1)
FutPrice = 118.0126 AccrInt = 0.7918
See Also
convfactor
|bndfutprice
|bndfutimprepo
|tfutbyprice
|tfutbyyield
|tfutimprepo
|tfutpricebyrepo
|tfutyieldbyrepo
|bnddurp
|bnddury
Related Examples
- Managing Present Value with Bond Futures
- Fitting the Diebold Li Model
- Managing Interest-Rate Risk with Bond Futures