NMOF (version 1.2-2)

xtContractValue: Contract Value of Australian Government Bond Future

Description

Compute the contract value of an Australian government-bond future from its quoted price.

Usage

xtContractValue(quoted.price, coupon, do.round = TRUE)
xtTickValue(quoted.price, coupon, do.round = TRUE)

Arguments

quoted.price

The price, as in 99.02.

coupon

numeric; should be 6, not 0.06

do.round

If TRUE, round as done by ASX clearing house.

Value

A numeric vector.

Details

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.

References

http://www.rba.gov.au/mkt-operations/resources/tech-notes/pricing-formulae.html

Gilli, M., Maringer, D. and Schumann, E. (2011) Numerical Methods and Optimization in Finance. Elsevier. http://www.elsevierdirect.com/product.jsp?isbn=9780123756626

Schumann, E. (2016) Financial Optimisation with R (NMOF Manual). http://enricoschumann.net/NMOF.htm#NMOFmanual

Examples

# NOT RUN {
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")
# }