Supported Interest-Rate Instrument Functions

Bond

Abondis a long-term debt security with a preset interest-rate and maturity. At maturity, you must pay the principal and interest.

The price or value of a bond is determined by discounting the expected cash flows of the bond to the present, using the appropriate discount rate. The following equation represents the relationship of the expected cash flows and discount rate:

$B_{0} = \frac{C}{2} [\frac{1 - {(1 + \frac{r}{2})}^{- 2 t}}{\frac{r}{2}}] + \frac{F}{{(1 + \frac{r}{2})}^{2 t}}$

where:

B₀is the bond value.

Cis the annual coupon payment.

Fis the face value of the bond.

ris the required return on the bond.

tis the number of years remaining until maturity.

Financial Instruments Toolbox™ supports the following for pricing and specifying a bond.

Function	Purpose
`bondbybdt`	价格一个bond using a BDT interest-rate tree.
`bondbyhw`	价格一个bond using an HW interest-rate tree.
`bondbybk`	价格一个bond using a BK interest-rate tree.
`bondbyhjm`	价格一个bond using an HJM interest-rate tree.
`bondbycir`	Price bonds using a CIR tree model.
`bondbyzero`	价格一个bond using a set of zero curves.
`instbond`	Construct a bond instrument.

Convertible Bond

Aconvertible bondis a financial instrument that combines equity and debt features. It is a bond with the embedded option to turn it into a fixed number of shares. The holder of a convertible bond has the right, but not the obligation, to exchange the convertible security for a predetermined number of equity shares at a preset price. The debt component is derived from the coupon payments and the principal. The equity component is provided by the conversion feature.

Convertible bonds have several defining features:

Coupon — The coupon in convertible bonds are typically lower than coupons in vanilla bonds since investors are willing to take the lower coupon for the opportunity to participate in the company’s stock via the conversion.
Maturity — Most convertible bonds are issued with long-stated maturities. Short-term maturity convertible bonds usually do not have call or put provisions.
Conversion ratio — Conversion ratio is the number of shares that the holder of the convertible bond receives from exercising the call option of the convertible bond:

Conversion ratio = par value convertible bond/conversion price of equity

例如,一个转换比25意味着债券can be exchanged for 25 shares of stock. This also implies a conversion price of $40 (1000/25). This, $40, would be the price at which the owner would buy the shares. This can be expressed as a ratio or as the conversion price and is specified in the contract along with other provisions.
Option type:
- Callable Convertible: a convertible bond that is callable by the issuer. The issuer of the bond forces conversion, removing the advantage that conversion is at the discretion of the bondholder. Upon call, the bondholder can either convert the bond or redeem at the call price. This option enables the issuer to control the price of the convertible bond and if necessary refinance the debt with a new cheaper one.
- Puttable Convertible: a convertible bond with a put feature that allows the bondholder to sell back the bond at a premium on a specific date. This option protects the holder against rising interest rates by reducing the year to maturity.

Function	Purpose
`cbondbycrr`	Price convertible bonds using a CRR binomial tree with the Tsiveriotis and Fernandes model.
`cbondbyeqp`	Price convertible bonds using an EQP binomial tree with the Tsiveriotis and Fernandes model.
`cbondbyitt`	Price convertible bonds using an implied trinomial tree with the Tsiveriotis and Fernandes model.
`cbondbystt`	Price convertible bonds using a standard trinomial tree with the Tsiveriotis and Fernandes model.
`instcbond`	Construct a`cbond`instrument for a convertible bond.

Stepped Coupon Bonds

A step-up and step-down bond is a debt security with a predetermined coupon structure over time. With these instruments, coupons increase (step up) or decrease (step down) at specific times during the life of the bond. For more information on options features (call and puts), seeStepped Coupon Bonds with Calls and Puts. The following functions have a modifiedCouponRateargument to support a new variable coupon schedule allowing pricing of stepped coupon bonds.

Function	Purpose
`bondbyzero`	Price bonds using a term structure model.
`bondbybdt`	Price bonds using a BDT tree model.
`bondbyhjm`	Price bonds using an HJM tree model.
`bondbyhw`	Price bonds using an HW tree model.
`bondbybk`	Price bonds using a BK tree model.
`bondbycir`	Price bonds using a CIR tree model.
`instbond`	Construct a bond instrument.
`instoptbnd`	Construct a bond option instrument.
`instdisp`	显示仪器存储在一个变量中。

Sinking Fund Bonds

Asinking fund bondis a coupon bond with a sinking fund provision. This provision obligates the issuer to amortize portions of the principal before maturity, affecting bond prices since the time of the principal repayment changes. This means that investors receive the coupon and a portion of the principal paid back over time. These types of bonds reduce credit risk, since it lowers the probability of investors not receiving their principal payment at maturity. For more information on options support for sinking fund bonds, seeSinking Fund Bonds with an Embedded Option. The following functions have a modifiedFaceargument to support a variable face schedule for pricing bonds with a sinking provisions.

Function	Purpose
`bondbyzero`	Price bonds using a term structure model.
`bondbybdt`	Price bonds using a BDT tree model.
`bondbyhjm`	Price bonds using an HJM tree model.
`bondbyhw`	Price bonds using an HW tree model.
`bondbybk`	Price bonds using a BK tree model.
`bondbycir`	Price bonds using a CIR tree model.
`instoptbnd`	Construct a bond option instrument.
`instbond`	Construct a bond instrument.
`instdisp`	显示仪器存储在一个变量中。

Bonds with an Amortization Schedule

Abond with an amortization schedulerepays part of the principal (face value) along with the coupon payments. An amortizing bond is a special case of a sinking fund bond when there is no market purchase option and no call provision. The following functions have a modifiedFaceargument to support an amortization schedule.

Function	Purpose
`bondbyzero`	Price bonds using a term structure model.
`bondbybdt`	Price bonds using a BDT tree model.
`bondbyhjm`	Price bonds using an HJM tree model.
`bondbyhw`	Price bonds using an HW tree model.
`bondbybk`	Price bonds using a BK tree model.
`bondbycir`	Price bonds using a CIR tree model.

Bond Options

Financial Instruments Toolbox supports three types of put and call options on bonds:

American option: An option that you exercise any time until its expiration date.
European option: An option that you exercise only on its expiration date.
Bermuda option: A Bermuda option resembles a hybrid of American and European options. You can exercise it on predetermined dates only, usually monthly.

Financial Instruments Toolbox supports the following for pricing and specifying a bond option.

Function	Purpose
`optbndbybdt`	价格一个bond option price using a BDT interest-rate tree.
`optbndbyhw`	价格一个bond option price using an HW interest-rate tree.
`optbndbybk`	价格一个bond option price using a BK interest-rate tree.
`optbndbyhjm`	价格一个bond option price using an HJM interest-rate tree.
`optbndbycir`	价格一个bond option price using a CIR interest-rate tree.
`instoptbnd`	Construct a bond option instrument.

Bond with Embedded Options

Abond with embedded optionsallows the issuer to buy back (callable) or redeem (puttable) the bond at a predetermined price at specified future dates. Financial Instruments Toolbox supports American, European, and Bermuda callable and puttable bonds.

The pricing for a bond with embedded options is as follows:

For a callable bond: $P r i c e C a l l a b l e B o n d = B o n d P r i c e - B o n d C a l l O p t i o n$
In the callable case, the holder bought a bond and sold a call option to the issuer. For example, if interest rates go down by the time of the call date, the issuer is able to refinance its debt at a cheaper level and can call the bond.
For a puttable bond: $P r i c e P u t t a b l e B o n d = P r i c e B o n d + P r i c e P u t O p t i o n$
In the puttable case, the holder bought a bond and a put option. For example, if interest rates rise, the future value of coupon payments becomes less valuable. Therefore, the investor can sell the bond back to the issuer and then lend proceeds elsewhere at a higher rate.

In addition, Option Adjusted Spread (OAS) is a useful way to value and compare securities with embedded options, like callable or puttable bonds. For more information on OAS, seeOAS for Callable and Puttable Bonds.

Financial Instruments Toolbox supports the following for pricing and specifying a bond with embedded options.

Function	Purpose
`optembndbybdt`	价格一个bond with embedded options using a BDT interest-rate tree.
`optembndbyhw`	价格一个bond with embedded options using an HW interest rate tree.
`optembndbybk`	价格一个bond with embedded options using a BK interest-rate tree.
`optembndbyhjm`	价格一个bond with embedded options using an HJM interest-rate tree.
`optembndbycir`	价格一个bond with embedded options using a CIR interest-rate tree.
`instoptembnd`	Construct a bond-with-embedded-options instrument.
`oasbybdt`	Determine an option adjusted spread using Black-Derman-Toy model.
`oasbybk`	Determine an option adjusted spread using Black-Karasinski model.
`oasbyhjm`	Determine an option adjusted spread using Heath-Jarrow-Morton model.
`oasbyhw`	Determine an option adjusted spread using Hull-White model.
`oasbycir`	Determine an option adjusted spread using Cox-Ingersoll-Ross model.
`agencyoas`	Compute the OAS of the callable bond using the Agency OAS model.
`agencyprice`	Price the callable bond OAS using the Agency OAS model.

Stepped Coupon Bonds with Calls and Puts

A step-up and step-down bond is a debt security with a predetermined coupon structure over time. For more information on stepped coupon bonds, seeStepped Coupon Bonds. Stepped coupon bonds can have options features (call and puts). The following functions have a modifiedCouponRateargument to support a new variable coupon schedule allowing pricing stepped coupon bonds with callable and puttable features:

Function	Purpose
`optembndbybdt`	Price bonds with embedded options using a BDT model tree.
`optembndbyhjm`	Price bonds with embedded options using an HJM model tree.
`optembndbybk`	Price bonds with embedded options using a BK model tree.
`optembndbyhw`	Price bonds with embedded options using an HW model tree.
`optembndbycir`	Price bonds with embedded options using a CIR model tree.
`instbond`	Construct a bond instrument.
`instoptbnd`	Construct a bond option instrument.
`instoptembnd`	Construct a bond with an embedded option instrument.
`instdisp`	显示仪器存储在一个变量中。

Sinking Fund Bonds with an Embedded Option

A sinking fund bond is a coupon bond with a sinking fund provision. For more information on sinking fund bonds, seeSinking Fund Bonds. The sinking fund bond can have a sinking fund option provision allowing the issuer to retire the sinking fund obligation either by purchasing the bonds to be redeemed from the market or by calling the bond via a sinking fund call, whichever is cheaper.

If interest rates are high, then the issuer buys back the required amount of bonds from the market since bonds are cheap. But if interest rates are low (bond prices are high), then most likely the issuer buys the bonds at the call price. Unlike a call feature, however, if a bond has a sinking fund option provision, it is an obligation, not an option, for the issuer to buy back the increments of the issue as stated. Because of this, a sinking fund bond trades at a lower price than a nonsinking fund bond. The following functions have a modifiedFaceargument to support a variable face schedule for pricing bonds with a sinking fund option provision.

Function	Purpose
`optembndbybdt`	Price bonds with embedded options using a BDT model tree.
`optembndbyhjm`	Price bonds with embedded options using an HJM model tree.
`optembndbybk`	Price bonds with embedded options using a BK model tree.
`optembndbyhw`	Price bonds with embedded options using an HW model tree.
`optembndbycir`	Price bonds with embedded options using a CIR model tree.
`instbond`	Construct a bond instrument.
`instoptbnd`	Construct a bond option instrument.
`instdisp`	显示仪器存储在一个变量中。

Amortizing Callable or Puttable Bond

Amortizing callable or puttable bonds work under a scheduledFaceinput argument. An amortizing callable bond give the issuer the right to call back the bond, but instead of paying theFaceamount at maturity, it repays part of the principal along with the coupon payments. An amortizing puttable bond, repays part of the principal along with the coupon payments and gives the bondholder the right to sell the bond back to the issuer.

Function	Purpose
`optembndbybdt`	Price bonds with embedded options using a BDT model tree.
`optembndbyhjm`	Price bonds with embedded options using an HJM model tree.
`optembndbybk`	Price bonds with embedded options using a BK model tree.
`optembndbyhw`	Price bonds with embedded options using an HW model tree.
`optembndbycir`	Price bonds with embedded options using a CIR model tree.
`oasbybdt`	Determine an option adjusted spread using Black-Derman-Toy model.
`oasbybk`	Determine an option adjusted spread using Black-Karasinski model.
`oasbyhjm`	Determine an option adjusted spread using Heath-Jarrow-Morton model.
`oasbyhw`	Determine an option adjusted spread using Hull-White model.
`oasbycir`	Determine an option adjusted spread using Cox-Ingersoll-Ross model.

Fixed-Rate Note

Afixed-rate noteis a long-term debt security with a preset interest rate and maturity, by which the interest must be paid. The principal may or may not be paid at maturity. In Financial Instruments Toolbox, the principal is always paid at maturity.

Function	Purpose
`fixedbybdt`	价格一个fixed-rate note using a BDT interest-rate tree.
`fixedbyhw`	价格一个fixed-rate note using an HW interest-rate tree.
`fixedbybk`	价格一个fixed-rate note using a BK interest-rate tree.
`fixedbyhjm`	价格一个fixed-rate note using an HJM interest-rate tree.
`fixedbycir`	价格一个fixed-rate note using a CIR interest-rate tree.
`fixedbyzero`	价格一个fixed-rate note using a set of zero curves.
`instfixed`	Construct a fixed-rate instrument.

Floating-Rate Note

Afloating-rate noteis a security like a bond, but the interest rate of the note is reset periodically, relative to a reference index rate, to reflect fluctuations in market interest rates.

Function	Purpose
`floatbybdt`	价格一个floating-rate note using a BDT interest-rate tree.
`floatbyhw`	价格一个floating-rate note using an HW interest-rate tree.
`floatbybk`	价格一个floating-rate note using a BK interest-rate tree.
`floatbyhjm`	价格一个floating-rate note using an HJM interest-rate tree.
`floatbycir`	价格一个floating-rate note using a CIR interest-rate tree.
`floatbyzero`	价格一个floating-rate note using a set of zero curves.
`instfloat`	Construct a floating-rate note instrument.

Floating-Rate Note with an Amortization Schedule

Afloating-rate note with an amortization schedulerepays part of the principal (face value) along with the coupon payments. The following functions have aPrincipalargument to support an amortization schedule.

Function	Purpose
`floatbyzero`	Price floating-rate note from set of zero curves.
`floatbybdt`	Price floating-rate note from Black-Derman-Toy interest-rate tree.
`floatbyhjm`	Price floating-rate note from Heath-Jarrow-Morton interest-rate tree.
`floatbyhw`	Price floating-rate note from Hull-White interest-rate tree.
`floatbybk`	Price floating-rate note from Black-Karasinski interest-rate tree.
`floatbycir`	价格一个floating-rate note using a CIR interest-rate tree.

Floating-Rate Note with Caps, Collars, and Floors

A floating-rate note with caps, collars, and floors. This type of instrument can carry restrictions on the maximum (cap) or minimum (floor) coupon rate paid. A cap is an unattractive feature for an investor, since they constrain the coupon rates from increasing. A floor is an attractive feature, since it allows investors to get a minimum coupon rate when market rates decrease below a certain level. Also, a floating-rate note can have a collar which is a combination of a cap and a floor together. The following functions have aCapRateandFloorRateargument to support a capped, collared, or floored floating-rate note.

Function	Purpose
`floatbybdt`	价格一个capped floating-rate note from a Black-Derman-Toy interest-rate tree.
`floatbyhjm`	价格一个capped floating-rate note from a Heath-Jarrow-Morton interest-rate tree.
`floatbyhw`	价格一个capped floating-rate note from a Hull-White interest-rate tree.
`floatbybk`	价格一个capped floating-rate note from a Black-Karasinski interest-rate tree.
`floatbycir`	价格一个floating-rate note using a CIR interest-rate tree.
`instfloat`	Create a capped floating-rate note instrument.
`instadd`	Add a capped floating-rate note instrument to a portfolio.

Floating-Rate Note Options

Financial Instruments Toolbox supports three types of put and call options on floating-rate notes:

American option — An option that you exercise any time until its expiration date.
European option — An option that you exercise only on its expiration date.
Bermuda option — A Bermuda option resembles a hybrid of American and European options; you can only exercise it on predetermined dates, usually monthly.

Financial Instruments Toolbox supports the following for pricing and specifying a floating-rate note option:

Function	Purpose
`optfloatbybdt`	价格一个n option for floating-rate note using a Black-Derman-Toy interest-rate tree.
`optfloatbyhjm`	价格一个n option for floating-rate note using a Heath-Jarrow-Morton interest-rate tree.
`optfloatbyhw`	价格一个n option for floating-rate note using a Hull-White interest-rate tree.
`optfloatbycir`	价格一个n option for floating-rate note using a Cox-Ingersoll-Ross interest-rate tree.
`optfloatbybk`	价格一个n option for floating-rate note using a Black-Karasinski interest-rate tree.
`instoptfloat`	Define the option instrument for floating-rate note.

Floating-Rate Note with Embedded Options

Afloating-rate note with an embedded optionenables floating-rate notes to have early redemption features. An FRN with an embedded option gives investors or issuers the option to retire the outstanding principal prior to maturity. An embedded call option gives the right to retire the note prior to the maturity date (callable floater), and an embedded put option gives the right to sell the note back at a specific price (puttable floater).

Financial Instruments Toolbox supports the following for pricing and specifying a floating-rate note with an embedded option:

Function	Purpose
`optemfloatbybdt`	价格浮动利率嵌入式选择注意我们ing a Black-Derman-Toy interest-rate tree.
`optemfloatbybk`	价格浮动利率嵌入式选择注意我们ing a Black-Karasinski interest-rate tree.
`optemfloatbyhjm`	价格浮动利率嵌入式选择注意我们ing a Heath-Jarrow-Morton interest-rate tree.
`optemfloatbyhw`	价格浮动利率嵌入式选择注意我们ing a Hull-White interest-rate tree.
`optemfloatbycir`	价格浮动利率嵌入式选择注意我们ing a Cox-Ingersoll-Ross interest-rate tree.
`instoptemfloat`	Define the floating-rate note with embedded option instrument.

Cap

Acapis a contract that includes a guarantee that sets the maximum interest rate to be paid by the holder, based on an otherwise floating interest rate. The payoff for a cap is:

$\max (C u r r e n t R a t e - C a p R a t e, 0)$

Function	Purpose
`capbybdt`	价格一个cap instrument using a BDT interest-rate tree.
`capbyhw`	价格一个cap instrument using an HW interest-rate tree.
`capbybk`	价格一个cap instrument using a BK interest-rate tree.
`capbyhjm`	价格一个cap instrument using an HJM interest-rate tree.
`capbycir`	价格一个cap instrument using a CIR interest-rate tree.
`capbyblk`	价格一个cap instrument using the Black option pricing model.
`capbylg2f`	使用线性高斯价格上限ian two-factor model.
`capbynormal`	价格一个cap instrument with negative rates using the Normal (Bachelier) option pricing model.
`capvolstrip`	Strip caplet volatilities from flat cap volatilities.
`instcap`	Construct a cap instrument.

Floor

Aflooris a contract that includes a guarantee setting the minimum interest rate to be received by the holder, based on an otherwise floating interest rate. The payoff for a floor is:

$\max (F l o o r R a t e - C u r r e n t R a t e, 0)$

Function	Purpose
`floorbybdt`	价格一个floor instrument using a BDT interest-rate tree.
`floorbyhw`	价格一个floor instrument using an HW interest-rate tree.
`floorbybk`	价格一个floor instrument using a BK interest-rate tree.
`floorbyhjm`	价格一个floor instrument using an HJM interest-rate tree.
`floorbycir`	价格一个floor instrument using a CIR interest-rate tree.
`floorbyblk`	价格一个floor instrument using the Black option pricing model.
`floorbylg2f`	价格一个floor using Linear Gaussian two-factor model.
`floorbynormal`	价格一个floor instrument with negative rates using the Normal (Bachelier) option pricing model.
`floorvolstrip`	Strip floorlet volatilities from flat floor volatilities.
`instfloor`	Construct a floor instrument.

Range Note

Arange noteis a structured (market-linked) security whose coupon-rate is equal to the reference rate as long as the reference rate is within a certain range. If the reference rate is outside of the range, the coupon-rate is 0 for that period. This type of instrument entitles the holder to cash flows that depend on the level of some reference interest-rate that is floored to be positive and gives the holder of the note direct exposure to the reference rate. This type of instrument is useful for cases where you believe that interest rates will stay within a certain range. In return for the drawback that no interest is paid for the time the range is left, a range note offers higher coupon rates than comparable standard products, like vanilla floating notes.

Function	Purpose
`instrangefloat`	Create a range note instrument.
`rangefloatbybdt`	Price range floating note using a BDT tree.
`rangefloatbybk`	Price range floating note using a BK tree.
`rangefloatbyhjm`	Price range floating note using an HJM tree.
`rangefloatbyhw`	Price range floating note using an HW tree.
`rangefloatbycir`	Price range floating note using a CIR tree.

Swap

Aswapis contract between two parties obligating the parties to exchange future cash flows. A vanilla swap is composed of a floating-rate leg and a fixed-rate leg.

Function	Purpose
`swapbybdt`	价格一个swap instrument using a BDT interest-rate tree.
`swapbyhw`	价格一个swap instrument using an HW interest-rate tree.
`swapbybk`	价格一个swap instrument using a BK interest-rate tree.
`swapbyhjm`	价格一个swap instrument using an HJM interest-rate tree.
`swapbycir`	价格一个swap instrument using a CIR interest-rate tree.
`swapbyzero`	价格一个swap instrument using a set of zero curves and price cross currency swaps.
`instswap`	Construct a swap instrument.

Swap with an Amortization Schedule

Aswap with an amortization schedulerepays part of the principal (face value) along with the coupon payments. A swap with an amortization schedule is used to manage interest rate risk and serve as a cash flow management tool. For this particular type of swap, the notional amount decreases over time. This means that interest payments decrease not only on the floating leg but also on the fixed leg. The following swap functions have aPrincipalargument to support an amortization schedule.

Function	Purpose
`swapbyzero`	Price swap instrument from set of zero curves.
`swapbybdt`	Price swap instrument from Black-Derman-Toy interest-rate tree.
`swapbyhjm`	Price swap instrument from Heath-Jarrow-Morton interest-rate tree.
`swapbyhw`	Price swap instrument from Hull-White interest-rate tree.
`swapbybk`	Price swap instrument from Black-Karasinski interest-rate tree.
`swapbycir`	价格一个swap instrument using a CIR interest-rate tree.
`instswap`	Construct swap instrument.

Forward Swap

In aforward interest-rate swap, a fixed interest-rate loan is exchanged for a floating interest-rate loan at a future specified date. The following functions have aStartDateargument to support the future date for the forward swap.

Function	Purpose
`swapbyzero`	价格一个forward swap from a zero curve.
`swapbybdt`	价格一个forward swap from a Black-Derman-Toy interest-rate tree.
`swapbyhjm`	价格一个forward swap from a Heath-Jarrow-Morton interest-rate tree.
`swapbyhw`	价格一个forward swap from a Hull-White interest-rate tree.
`swapbybk`	价格一个forward swap from a Black-Karasinski interest-rate tree.
`swapbycir`	价格一个swap instrument using a CIR interest-rate tree.
`instswap`	Create a forward swap instrument.
`instadd`	Add a capped floating-rate note instrument to a portfolio.

Swaption

Aswaptionis an option to enter into an interest-rate swap contract. A call swaption allows the option buyer to enter into an interest-rate swap where the buyer of the option pays the fixed-rate and receives the floating-rate. A put swaption allows the option buyer to enter into an interest-rate swap where the buyer of the option receives the fixed-rate and pays the floating-rate.

Function	Purpose
`swaptionbybdt`	价格一个swaption instrument using a BDT interest-rate tree.
`swaptionbyhw`	价格一个swaption instrument using an HW interest-rate tree.
`swaptionbybk`	价格一个swaption instrument using a BK interest-rate tree.
`swaptionbyhjm`	价格一个swaption instrument using an HJM interest-rate tree.
`swaptionbycir`	价格一个swaption instrument using a CIR interest-rate tree.
`swaptionbyblk`	Price swaptions using the Black model with a forward on a swap.
`swaptionbylg2f`	Price European swaptions using Linear Gaussian two-factor model.
`swaptionbynormal`	Price swaptions for negative rates using the Normal (Bachelier) model with a forward on a swap.
`instswaption`	Construct a swaption instrument.

Useswaptionbyblkto price a swaption using the Black model. The Black model is standard model used in the swaption market when pricing European swaptions. This type of model is widely used by when speed is important to quickly obtain a price at settlement date, even if the price is less accurate than other swaption pricing models based on interest-rate tree models.

Bond Futures

Bond futuresare futures contracts where the commodity for delivery is a government bond. There are established global markets for government bond futures. Bond futures provide a liquid alternative for managing interest-rate risk.

In the US market, the Chicago Mercantile Exchange (CME) offers futures on Treasury bonds and notes with maturities of 2, 5, 10, and 30 years. Typically, the following bond future contracts from the CME have maturities of 3, 6, 9, and 12 months:

短期国债或注意futu位置re contract must deliver to the long position in one of many possible existing Treasury bonds. For example, in a 30-year Treasury bond future, the short position must deliver a Treasury bond with at least 15 years to maturity. Because these bonds have different values, the bond future contract is standardized by computing a conversion factor. The conversion factor normalizes the price of a bond to a theoretical bond with a coupon of 6%. The price of a bond future contract is represented as:

$I n v o i c e P r i c e = F u t P r i c e \times C F + A I$

where:

FutPriceis the price of the bond future.

CFis the conversion factor for a bond to deliver in a futures contract.

AIis the accrued interest.

The short position in a futures contract has the option of which bond to deliver and, in the US bond market, when in the delivery month to deliver the bond. The short position typically chooses to deliver the bond known as the Cheapest to Deliver (CTD). The CTD bond most often delivers on the last delivery day of the month.

Financial Instruments Toolbox supports the following bond futures:

US Treasury bonds and notes
German Bobl, Bund, Buxl, and Schatz
UK gilts
Japanese government bonds (JGBs)

The functions supporting all bond futures are:

Function	Purpose
`convfactor`	Calculates bond conversion factors for US Treasury bonds, German Bobl, Bund, Buxl, and Schatz, UK gilts, and JGBs.
`bndfutprice`	Prices bond future given repo rates.
`bndfutimprepo`	Calculates implied repo rates for a bond future given price.

The functions supporting US Treasury bond futures are:

Function	Purpose
`tfutbyprice`	Calculates future prices of Treasury bonds given the spot price.
`tfutbyyield`	Calculates future prices of Treasury bonds given current yield.
`tfutimprepo`	Calculates implied repo rates for the Treasury bond future given price.
`tfutpricebyrepo`	Calculates Treasury bond futures price given the implied repo rates.
`tfutyieldbyrepo`	Calculates Treasury bond futures yield given the implied repo rates.

For more information on bond futures, seeBond Futures.