Bond Futures
A Bond Future is a derivative contract that obligates the buyer to purchase, and the seller to deliver, a specified amount of a particular bond at a predetermined future date and price. Calculate the price and implied repo rate for bond futures and Treasury bond futures using the following functions:
Functions
bndfutimprepo | Implied repo rates for bond future given price |
bndfutprice | Price bond future given repo rates |
convfactor | Bond conversion factors |
tfutbyprice | Future prices of Treasury bonds given spot price |
tfutbyyield | Future prices of Treasury bonds given current yield |
tfutimprepo | Implied repo rates for 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 |
Topics
- Analysis of Bond Futures
This example shows how to analyze German Euro-Bund futures traded on Eurex.
- Fitting the Diebold Li Model
This example shows how to construct a Diebold Li model of the US yield curve for each month from 1990 to 2010.
- Managing Interest-Rate Risk with Bond Futures
This example shows how to hedge the interest-rate risk of a portfolio using bond futures.
- Bond Futures
Bond futures are futures contracts where the commodity for delivery is a government bond.
- Managing Present Value with Bond Futures
The Present Value of a Basis Point (PVBP) is used to manage interest-rate risk.
- Stepped-Coupon Bonds
A stepped-coupon bond has a fixed schedule of changing coupon amounts.
