CapeTools Forward Bonds

CapeTools Forward Bonds

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In total there are 18 functions present within the CapeTools Forward Bonds category of functions.

General Description

Functions for constructing Forward Bond Objects

There are two different functions for constructing Forward Bond objects. One that takes a repo curve (see CapeTools Repo Curves) and the other that takes a flat repo rate.

For functions that return derivative values, for example DRepo(), D2Repo(), DPrice() and D2Price(), the derivatives returned are the mathematically defined definition of a derivative. To convert this mathematical definition into a market move, simply multiply the result for the desired shift.
For example a one basis point change in the repo rate would require you to multiply the derivative value obtained from the DRepo() function by 0.00001 and the derivative value obtained from the D2Repo() function by 0.00001*0.00001.

Function list.

BondAccInterest - Return the Bond's Accrued interest at the delivery date.
BondD2Price - Return the second derivative of the Forward Bond price with respect to the Bond price.
BondD2Repo - Return the second derivative of the Forward Bond price with respect to the repo rate.
BondDPrice - Return the first derivative of the Forward Bond price with respect to the Bond price.
BondDRepo - Return the first derivative of the Forward Bond price with respect to the repo rate.
BondFwdCleanPrice - Return the Bond's Forward clean price.
BondFwdDays - Return the number of days between the Bond's settlement date and the delivery date.
BondFwdDirtyPrice - Return the Bond's Forward dirty price.
BondRepoRate - Return the repurchase rate (repo rate) used within the Forward bond.
ConvFactorGeneric - Computes a conversion factor for Bond futures.
ConvFactorGerman - Computes a conversion factor for Bobl, Bund and Schatz futures.
ConvFactorGilt - Computes a conversion factor for Gilt futures.
ConvFactorJGB - Computes a conversion factor for JGB futures.
ConvFactorOAT - Computes a conversion factor for OAT Bond futures.
ConvFactorTreasury - Computes a conversion factor for TBond and Notes futures.
FwdCouponBond - Creates a Forward fixed coupon bond object.
FwdCouponBond2 - Creates a Forward fixed coupon bond object given a Repo curve and the delivery or Forward date.
FwdImplyRepoRate - Finds the flat repurchase rate (repo rate) given a Fixed bond object and the details of the Forward Bond.