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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

Analysis of Bond Futures

This example demonstrates analyzing German Euro-Bund futures traded on Eurex.

Managing Interest-Rate Risk with Bond Futures

This example shows how to hedge the interest-rate risk of a portfolio using bond futures.

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.

Concepts

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.