bundFuture function

Theoretical Valuation of Euro Bund Future

Compute theoretical prices of bund future.

bundFuture(clean, coupon, trade.date,
           expiry.date, last.coupon.date,
           r, cf)

bundFutureImpliedRate(future, clean, coupon,
                      trade.date, expiry.date,
                      last.coupon.date, cf)

Arguments

• clean: numeric: clean prices of CTD
• future: numeric: price of future
• coupon: numeric
• trade.date: Date or character in format YYYY-MM-DD
• expiry.date: Date or character in format YYYY-MM-DD
• last.coupon.date: Date or character in format YYYY-MM-DD
• r: numeric: 0.01
• cf: numeric: conversion factor of CTD

Details

bundFuture computes the theoretical prices of the Bund Future, given the prices of the cheapest-to-deliver eligible government bond.

bundFutureImpliedRate computes the implied refinancing rate.

Returns

numeric

Author(s)

Enrico Schumann

References

Gilli, M., Maringer, D. and Schumann, E. (2019) Numerical Methods and Optimization in Finance. 2nd edition. Elsevier. tools:::Rd_expr_doi("10.1016/C2017-0-01621-X")

Schumann, E. (2023) Financial Optimisation with R (NMOF Manual). https://enricoschumann.net/NMOF.htm#NMOFmanual

Examples

## Bund-Future with expiry Sep 2017
## CTD: DE0001102408 -- 0%, 15 Aug 2026
##
## On 21 August 2017, the CTD traded (clean) at 97.769
## the FGBL Sep 2017 closed at 164.44.

bundFuture(clean = 97.769,                   ## DE0001102408
           coupon = 0,
           trade.date = "2017-8-21",
           expiry.date = "2017-09-07",       ## Bund expiry
           last.coupon.date = "2017-08-15",  ## last co
           r = -0.0037,
           cf = 0.594455)   ## conversion factor (from Eurex website)

bundFutureImpliedRate(future = 164.44,
                      clean = 97.769,
                      coupon = 0,
                      trade.date = "2017-8-21",
                      expiry.date = "2017-09-07",
                      last.coupon.date = "2017-08-15",
                      cf = 0.594455)