tbl2bond - Treasury bond parameters given Treasury bill parameters

Syntax

[TBondMatrix, Settle] = tbl2bond(TBillMatrix)

Arguments

`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.

Description

[TBondMatrix, Settle] = tbl2bond(TBillMatrix) restates U.S. Treasury bill market parameters in U.S. Treasury bond form as zero-coupon bonds. This function makes Treasury bills directly comparable to Treasury bonds and notes.

`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.

Examples

Given published Treasury bill market parameters for December 22, 1997

TBill = [datenum('jan 02 1998')  10  0.0526  0.0522  0.0530
         datenum('feb 05 1998')  44  0.0537  0.0533  0.0544
         datenum('mar 05 1998')  72  0.0529  0.0527  0.0540];

Execute the function.

TBond = tbl2bond(TBill)

TBond =
            0  729760       99.854       99.855     0.053
            0  729790       99.344       99.349     0.0544
            0  729820       98.942       98.946     0.054

(Example output has been formatted for readability.)

tbl2bond - Treasury bond parameters given Treasury bill parameters

Syntax

Arguments

Description

Examples

See Also