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)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.
numeric
Enrico Schumann
Gilli, M., Maringer, D. and Schumann, E. (2019) Numerical Methods and Optimization in Finance. 2nd edition. Elsevier. https://www.elsevier.com/books/numerical-methods-and-optimization-in-finance/gilli/978-0-12-815065-8
Schumann, E. (2019) Financial Optimisation with R (NMOF Manual). http://enricoschumann.net/NMOF.htm#NMOFmanual
## 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)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.