derivitec.core.client.DerivitecClient.bond_futures_prices_from_repo_rates

DerivitecClient.bond_futures_prices_from_repo_rates(bond_future, eligible_bonds, repo_rates, pricing_date, mkt_data_date, market_data_environment_name=None)[source]

Get the implied futures prices of bonds, given a bond future and repo rates.

Parameters:

  • bond_future (BondFutureByCode) – The bond future.

  • eligible_bonds (BondByCode) – The bonds.

  • repo_rates (list of float) – The repo rates in % (in the same order as eligible_bonds)

  • pricing_date (datetime) – The pricing date

  • mkt_data_date (datetime) – The market data date

  • market_data_environment_name (str) – The market data environment name.

Return type:

derivitec.tradables.response.ApiGetBondFuturesPricesFromRepoRatesResponse

Code

>>> bond_future = BondFutureByCode(code=ric("FVZ7"))
>>> eligible_bonds = ( BondByCode(code=isin("US912828U659")),
...                    BondByCode(code=isin("US912828U816")) )
>>> repo_rates = [-4.54, 0.90]
>>> mkt_data_date = datetime(2017, 11, 1)
>>> pricing_date = datetime(2017, 11, 1)
>>> market_data_environment_name = "Example Market Data Environment"
>>> client.bond_futures_prices_from_repo_rates(
...                bond_future, eligible_bonds, repo_rates, pricing_date, mkt_data_date)