Implied Repo Rate

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Equation / Last modified by EmilyB on 2016/08/12 18:35
`"IRR" = `
Rating
ID
EmilyB.Implied Repo Rate
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d7d171f1-60b8-11e6-9770-bc764e2038f2

The Implied Repo Rate  is the rate of return of borrowing money to buy an asset in the spot market and delivering it in the futures market where he notional is used to repay the loan. 

The following formula is used: `"IRR"=((IP)/(PPB)-1)((dB)/(dD))`, where:

  • `IP` = Invoice Price
  • `PPB` = Purchase Price of Bond
  • `dB` = day Base
  • `dD` = days to Delivery

References


Wikipedia (https://en.wikipedia.org/wiki/Implied_repo_rate)