# xtContractValue: Contract Value of Australian Government Bond Future In enricoschumann/NMOF: Numerical Methods and Optimization in Finance

## Description

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

## Usage

 ```1 2``` ```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.

Enrico Schumann

## References

Gilli, M., Maringer, D. and Schumann, E. (2011) Numerical Methods and Optimization in Finance. Elsevier. http://www.elsevierdirect.com/product.jsp?isbn=9780123756626

Schumann, E. (2016) Financial Optimisation with R (NMOF Manual). http://enricoschumann.net/NMOF.htm#NMOFmanual

## Examples

 ```1 2 3 4 5 6 7 8 9``` ```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. 14, 2019, 2:21 p.m.