# bundFuture: Theoretical Valuation of Euro Bund Future In enricoschumann/NMOF: Numerical Methods and Optimization in Finance

## Description

Compute theoretical prices of bund future.

## Usage

 ```1 2 3 4 5 6 7``` ```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.

numeric

Enrico Schumann

## Examples

 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21``` ```## 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.