getIRP.TFututes: Calculate implied repo rate for TFutures object

In solavrov/fval: Financial instrument valuation

Description

Calculate implied repo rate for TFutures object

Usage

getIRP.TFututes(fut, futPrice, bondPrice, tradeDate = Sys.Date(),
  bond = A(fut, "ctd"))

Arguments

fut	TFutures object (can be a list)
futPrice	TFutures price in percentage (can be a vector)
bondPrice	CTD bond clean price in percentage (can be a vector)
tradeDate	Calculation date (can be a vector)
bond	FIBond object (can be a list)

Value

Implied repo rate for TFutures object in percentage

solavrov/fval documentation built on May 30, 2019, 4:40 p.m.