tbl2bond

TBillMatrix

Treasury bill parameters. An n-by-5 matrix where each row describes a Treasury bill. n is the number of Treasury bills. Columns are [Maturity DaysMaturity Bid Asked AskYield] where:

Maturity

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

DaysMaturity

Days to maturity, as an integer. Days to maturity is quoted on a skip-day basis; the actual number of days from settlement to maturity is DaysMaturity + 1.

Bid

Bid bank-discount rate: the percentage discount from face value at which the bill could be bought, annualized on a simple-interest basis. A decimal fraction.

Asked

Asked bank-discount rate, as a decimal fraction.

AskYield

Asked yield: the bond-equivalent yield from holding the bill to maturity, annualized on a simple-interest basis and assuming a 365-day year. A decimal fraction.

TBondMatrix

Treasury bond parameters. An N-by-5 matrix where each row describes an equivalent Treasury (zero-coupon) bond. Columns are [CouponRate Maturity Bid Asked AskYield] where

CouponRate

Coupon rate, which is always 0.

Maturity

Maturity date, as a serial date number. This date is the same as the Treasury bill Maturity date.

Bid

Bid price based on $100 face value.

Asked

Asked price based on $100 face value.

AskYield

Asked yield to maturity: the effective return from holding the bond to maturity, annualized on a compound-interest basis.