bundFuture: Theoretical Valuation of Euro Bund Future

Description Usage Arguments Details Value Author(s) Examples

Description

Compute theoretical prices of bund future.

Usage

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bundFuture(clean, coupon, trade.date,
           expiry.date, last.coupon.date,
           r, cf)

bundFutureImpliedRate(future, clean, coupon,
                      trade.date, expiry.date,
                      last.coupon.date, cf)

Arguments

clean

numeric: clean prices of CTD

future

numeric: price of future

coupon

numeric

trade.date

Date or character in format YYYY-MM-DD

expiry.date

Date or character in format YYYY-MM-DD

last.coupon.date

Date or character in format YYYY-MM-DD

r

numeric: 0.01

cf

numeric: conversion factor of CTD

Details

bundFuture computes the theoretical prices of the Bund Future, given the prices of the cheapest-to-deliver eligible government bond.

bundFutureImpliedRate computes the implied refinancing rate.

Value

numeric

Author(s)

Enrico Schumann

Examples

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## Bund-Future with expiry Sep 2017
## CTD: DE0001102408 -- 0%, 15 Aug 2026
##
## On 21 August 2017, the CTD traded (clean) at 97.769
## the FGBL Sep 2017 closed at 164.44.

bundFuture(clean = 97.769,                   ## DE0001102408
           coupon = 0,
           trade.date = "2017-8-21",
           expiry.date = "2017-09-07",       ## Bund expiry
           last.coupon.date = "2017-08-15",  ## last co
           r = -0.0037,
           cf = 0.594455)   ## conversion factor (from Eurex website)

bundFutureImpliedRate(future = 164.44,
                      clean = 97.769,
                      coupon = 0,
                      trade.date = "2017-8-21",
                      expiry.date = "2017-09-07",
                      last.coupon.date = "2017-08-15",
                      cf = 0.594455)

enricoschumann/NMOF documentation built on June 25, 2019, 10:59 a.m.