www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ConversionFactoBondFuturesContrExample.m
%% Compute the Conversion Factors For a Bond Futures Contract % This example shows how to calculate |CF|, given the following |RefDate|, |Maturity|, % and |CouponRate|. %% % Copyright 2015 The MathWorks, Inc. RefDate = {'1-Dec-2002'; '1-Mar-2003'; '1-Jun-2003'; '1-Sep-2003'; '1-Dec-2003'; '1-Sep-2003'; '1-Dec-2002'; '1-Jun-2003'}; Maturity = {'15-Nov-2012'; '15-Aug-2012'; '15-Feb-2012'; '15-Feb-2011'; '15-Aug-2011'; '15-Aug-2010'; '15-Aug-2009'; '15-Feb-2010'}; CouponRate = [0.04; 0.04375; 0.04875; 0.05; 0.05; 0.0575; 0.06; 0.065]; CF = convfactor(RefDate, Maturity, CouponRate)