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)