xtContractValue: Contract Value of Australian Government Bond Future

In enricoschumann/NMOF: Numerical Methods and Optimization in Finance

Contract Value of Australian Government Bond Future

Description

Compute the contract value of an Australian government-bond future from its quoted price.

Usage

xtContractValue(quoted.price, coupon, do.round = TRUE)
xtTickValue(quoted.price, coupon, do.round = TRUE)

Arguments

quoted.price	The price, as in 99.02.
coupon	numeric; should be 6, not 0.06
do.round	If TRUE, round as done by ASX clearing house.

Details

Australian government-bond futures, traded at the Australian Securities Exchange (asx), are quoted as 100 - yield. The function computes the actual contract value from the quoted price.

xtTickValue computes the tick value via a central difference.

Value

A numeric vector.

Author(s)

Enrico Schumann

References

https://www.rba.gov.au/mkt-operations/resources/tech-notes/pricing-formulae.html

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

quoted.price <- 99
coupon <- 6
xtContractValue(quoted.price, coupon)
xtTickValue(quoted.price, coupon)
## convexity
quoted.price <- seq(90, 100, by = 0.1)
plot(100 - quoted.price,
     xtContractValue(quoted.price, coupon),
     xlab = "Yield", ylab = "Contract value")

enricoschumann/NMOF documentation built on Feb. 15, 2025, 12:28 p.m.