# tfutimprepo

Implied repo rates for Treasury bond future given price

## Syntax

``ImpliedRepo = tfutimprepo(ReinvestData,Price,QtdFutPrice,Settle,MatFut,ConvFactor,CouponRate,Maturity)``

## Description

````ImpliedRepo = tfutimprepo(ReinvestData,Price,QtdFutPrice,Settle,MatFut,ConvFactor,CouponRate,Maturity)` computes the implied repo rate that prevents arbitrage of Treasury bond futures, given the clean price at the settlement and delivery dates.```

example

## Examples

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This example shows how to compute the implied repo rate given the following set of data.

```ReinvestData = [0.018 3]; Price = [114.4160; 113.1710]; QtdFutPrice = [114.1201; 113.7090]; Settle = datetime(2002,11,15); MatFut = [datetime(2002,12,15) ; datetime(2003,3,15)]; ConvFactor = [1; 0.9854]; CouponRate = [0.06; 0.0575]; Maturity = [datetime(2009,8,15) ; datetime(2010,8,15)]; ImpliedRepo = tfutimprepo(ReinvestData, Price, QtdFutPrice, ... Settle, MatFut, ConvFactor, CouponRate, Maturity)```
```ImpliedRepo = 2×1 0.0200 0.0200 ```

## Input Arguments

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Reinvestment of intervening coupons, specified as a number of futures `NFUT`-by-`2` matrix of rates and bases in the form of `[ReinvestRate ReinvestBasis]`.

`ReinvestRate` is the simple reinvestment rate, in decimal. Specify `ReinvestBasis` as `0` = not reinvested, `2` = actual/360, or `3` = actual/365.

Data Types: `double`

Current bond price per \$100 notional, specified as a scalar numeric or an `NINST`-by-`1` vector.

Data Types: `double`

Quoted bond futures price per \$100 notional, specified as a scalar numeric or an `NINST`-by-`1` vector.

Data Types: `double`

Settlement/valuation date of futures contract, specified as a scalar or an `NINST`-by-`1` vector using a datetime array, string array, or date character vectors.

To support existing code, `tfutimprepo` also accepts serial date numbers as inputs, but they are not recommended.

Maturity dates (or anticipated delivery dates) of futures contract, specified as a scalar or an `NINST`-by-`1` vector using a datetime array, string array, or date character vectors.

To support existing code, `tfutimprepo` also accepts serial date numbers as inputs, but they are not recommended.

Conversion factor, specified using `convfactor`.

Data Types: `double` | `char` | `cell`

Underlying bond annual coupon, specified as a scalar numeric decimal or an `NINST`-by-`1` vector of decimals.

Data Types: `double`

Underlying bond maturity date, specified as a scalar or an `NINST`-by-`1` vector using a datetime array, string array, or date character vectors.

To support existing code, `tfutimprepo` also accepts serial date numbers as inputs, but they are not recommended.

## Output Arguments

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Implied annual repo rate (in decimals) with an actual/360 basis, returned as a `NINST`-by-`1` vector.

## Version History

Introduced before R2006a

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