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Implied repo rate (IRR) formula

Description of the Implied repo rate (IRR) formula

Formula for the calculation of the implied repo rate.

Formula

\[ IRR= \left( \frac{P_{fact}}{P_{g}}-1 \right) \cdot \left( \frac {d_{base}} {d_{v \to l}} \right) \ \]

Symbols

\(d_{base}\ \)       
Number of days per year (360, 365 or 366 depending on day-count convention)
\(d_{v→l}\ \)       
Number of days between the bond's settlement date and the delivery date of the futures contract
\(P_{fact}\ \)       
Billing price
\(P_{g}\ \)       
Dirty price