Implied repo rate (IRR) formula
Financial acronyms
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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