tr2bonds (Financial Toolbox)

Term-structure parameters given Treasury bond parameters.

Syntax

[bonds, p, y] = tr2bonds(tbond)

Arguments

tbond: Treasury bond parameters. An N-by-5 matrix where each row describes a Treasury bond. N is the number of Treasury bonds.
Columns are [cpn md bidp askp askytm] where

cpn: Coupon rate, as a decimal fraction.

md: Maturity date, as a serial date number. Use datenum to convert date strings to serial date numbers.

bidp: Bid price based on $100 face value.

askp: Asked price based on $100 face value.

askytm: Asked yield to maturity, as a decimal fraction.

Description

[bonds, p, y] = tr2bonds(tbond)

returns term-structure parameters -- bond information, prices, and yields -- sorted by ascending maturity date md, given Treasury bond parameters. The formats of the output matrix and vectors meet requirements for input to the zbtprice and zbtyield zero-curve bootstrapping functions.

bonds: Coupon bond information. An N-by-6 matrix where each row describes a bond. N is the number of bonds.
Columns are [md cpn rv per basis eom] where

md: Maturity date of the bond, as a serial date number. Use datestr to convert serial date numbers to date strings.

cpn: Coupon rate of the bond, as a decimal fraction.

rv: Redemption or face value of the bond, always 100.

per: Coupons per year of the bond, always 2.

basis: Day-count basis of the bond, always 0 (actual/actual).

eom: End-of-month flag, always 1, meaning that a bond's coupon payment date is always the last day of the month.

p: Prices. An N-by-1 vector containing the price of each bond in bonds, respectively. The number of rows (N) matches the number of rows in bonds.

y: Yields. An N-by-1 vector containing the yield to maturity of each bond in bonds, respectively. The number of rows (N) matches the number of rows in bonds.

Example

Given published Treasury bond market parameters for December 22, 1997:

tbond=[0.0650  datenum('15-apr-1999') 101.03125 101.09375 0.0564
       0.05125 datenum('17-dec-1998')  99.4375   99.5     0.0563
       0.0625  datenum('30-jul-1998') 100.3125  100.375   0.0560
       0.06125 datenum('26-mar-1998') 100.09375 100.15625 0.0546];

Execute the function.

[bonds, p, y] = tr2bonds(tbond)
bonds =
  729840    0.06125    100    2    0    1
  729966    0.0625     100    2    0    1
  730106    0.05125    100    2    0    1
  730225    0.065      100    2    0    1
p =
  100.1563
  100.3750
   99.5000
  101.0938
y =
    0.0546
    0.056
    0.0563
    0.0564

(Example output has been formatted for readability.)