www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/TreasuryBondFuturesYiImpliedRtExample.m
%% Compute the Treasury Bond Futures Yield Given the Implied Repo Rates % This example shows how to compute the quoted futures bond yield, given % the following data. % Copyright 2015 The MathWorks, Inc. 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)