tbilldisc2yield - Convert Treasury bill discount to equivalent yield

Syntax

[BEYield MMYield] = tbilldisc2yield(Discount, Settle, Maturity)

Arguments

`Discount`	Discount rate of Treasury bills in decimal. The discount rate basis is actual/360.
`Settle`	Settlement date. `Settle` must be earlier than or equal to `Maturity`.
`Maturity`	Maturity date.

Inputs must either be a scalar or a vector of size equal to the number of Treasury bills (NTBILLS) by 1 or 1-by-NTBILLS.

Description

[BEYield MMYield] = tbilldisc2yield(Yield, Settle, Maturity) converts the discount rate on Treasury bills into their respective money-market or bond-equivalent yields.

BEYield is an NTBILLS-by-1 vector of bond-equivalent yields. The bond-equivalent yield basis is actual/365.

MMYield is an NTBILLS-by-1 vector of money-market yields. The money-market yield basis is actual/360.

Examples

Given a Treasury bill with these characteristics, compute the bond-equivalent and money-market yields.

Discount = 0.0497;
Settle = '01-Oct-02';
Maturity = '31-Mar-03';

[BEYield MMYield] = tbilldisc2yield(Discount, Settle, Maturity)

BEYield =

    0.0517

MMYield =

    0.0510

References

This function adheres to SIA Fixed Income Securities Formulas for Price, Yield, and Accrued Interest, Volume 1, 3rd edition, pp. 44 - 45 (on Treasury bills), and Money Market and Bond Calculation by Stigum and Robinson.