Contract Value of Australian Government Bond Future
Compute the contract value of an Australian government-bond future from its quoted price.
xtContractValue(quoted.price, coupon, do.round = TRUE) xtTickValue(quoted.price, coupon, do.round = TRUE)
quoted.price |
The price, as in |
coupon |
numeric; should be 6, not 0.06 |
do.round |
If |
Australian government-bond futures, traded at the
Australian Securities Exchange (asx), are
quoted as 100 - yield. The function computes
the actual contract value from the quoted price.
xtTickValue computes the tick value via a
central difference.
A numeric vector.
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
quoted.price <- 99
coupon <- 6
xtContractValue(quoted.price, coupon)
xtTickValue(quoted.price, coupon)
## convexity
quoted.price <- seq(90, 100, by = 0.1)
plot(100 - quoted.price,
xtContractValue(quoted.price, coupon),
xlab = "Yield", ylab = "Contract value")Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.