bundFuture: Theoretical Valuation of Euro Bund Future

In enricoschumann/NMOF: Numerical Methods and Optimization in Finance

Theoretical Valuation of Euro Bund Future

Description

Compute theoretical prices of bund future.

Usage

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

References

Gilli, M., Maringer, D. and Schumann, E. (2019) Numerical Methods and Optimization in Finance. 2nd edition. Elsevier. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/C2017-0-01621-X")}

Schumann, E. (2023) Financial Optimisation with R (NMOF Manual). https://enricoschumann.net/NMOF.htm#NMOFmanual

Examples

## 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 Feb. 15, 2025, 12:28 p.m.