www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ImpliedRepoRatesForTreasuryBondFutExample.m
%% Compute the Implied Repo Rates for Treasury Bond Futures Given the Price % This example shows how to compute the implied repo rate given the % following set of data. %% % Copyright 2015 The MathWorks, Inc. ReinvestData = [0.018 3]; Price = [114.4160; 113.1710]; QtdFutPrice = [114.1201; 113.7090]; 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')]; ImpliedRepo = tfutimprepo(ReinvestData, Price, QtdFutPrice, ... Settle, MatFut, ConvFactor, CouponRate, Maturity)