# tfutyieldbyrepo

Calculates Treasury bond futures yield given the implied repo rates

## Syntax

``FwdYield = tfutyieldbyrepo(RepoData,ReinvestData,Yield,Settle,MatFut,ConvFactor,CouponRate,Maturity)``

## Description

example

````FwdYield = tfutyieldbyrepo(RepoData,ReinvestData,Yield,Settle,MatFut,ConvFactor,CouponRate,Maturity)` computes the theoretical futures bond yield given the settlement yield, the repo/funding rate, and the reinvestment rate.```

## Examples

collapse all

This example shows how to compute the quoted futures bond yield, given the following data.

```RepoData = [0.020 2]; ReinvestData = [0.018 3]; Yield = [0.0215; 0.0257]; Settle = datenum('11/15/2002'); MatFut = [datenum('15-Dec-2002'); datenum('15-Mar-2003')]; ConvFactor = [1; 0.9854]; CouponRate = [0.06; 0.0575]; Maturity = [datenum('15-Aug-2009'); datenum('15-Aug-2010')]; FwdYield = tfutyieldbyrepo(RepoData, ReinvestData, Yield,... Settle, MatFut, ConvFactor, CouponRate, Maturity)```
```FwdYield = 2×1 0.0221 0.0282 ```

## Input Arguments

collapse all

Simple term repo/funding rates, specified as a number of futures `NFUT`-by-`2` matrix of rates in decimal and their bases in the form of ```[RepoRate RepoBasis]```.

Specify `RepoBasis` as `2` = actual/360 or `3` = actual/365.

Data Types: `double`

Reinvestment of intervening coupons, specified as a number of futures `NFUT`-by-`2` matrix of rates and bases in the form of `[ReinvestRate ReinvestBasis]`.

`ReinvestRate` is the simple reinvestment rate, in decimal. Specify `ReinvestBasis` as `0` = not reinvested, `2` = actual/360, or `3` = actual/365.

Data Types: `double`

Yield to maturity of Treasury bonds per \$100 notional at `Settle`, specified as a scalar numeric or an `NINST`-by-`1` vector.

Data Types: `double`

Settlement/valuation date of futures contract, specified as a scalar or an `NINST`-by-`1` vector of serial date numbers or date character vectors.

Data Types: `double` | `char` | `cell`

Maturity dates (or anticipated delivery dates) of futures contract, specified as a scalar or an `NINST`-by-`1` vector of serial date numbers or date character vectors.

Data Types: `double` | `char` | `cell`

Conversion factor, specified using `convfactor`.

Data Types: `double` | `char` | `cell`

Underlying bond annual coupon, specified as a scalar numeric decimal or an `NINST`-by-`1` vector of decimals.

Data Types: `double`

Underlying bond maturity date, specified as a scalar or an `NINST`-by-`1` vector of serial date numbers or date character vectors.

Data Types: `double` | `char` | `cell`

## Output Arguments

collapse all

Forward yield to maturity, in decimals, compounded semiannually, returned as a `NINST`-by-`1` vector.