Fixed-Income Toolbox™

tbillrepo - Break-even discount of repurchase agreement

Syntax

TBEDiscount = tbillrepo(RepoRate, InitialDiscount, PurchaseDate, 
SaleDate, Maturity)

Arguments

`RepoRate`	The annualized, 360-day based repurchase rate, in decimal.
`InitialDiscount`	Discount on the Treasury bill on the day of purchase, in decimal.
`PurchaseDate`	Date the Treasury bill is purchased.
`SaleDate`	Date the Treasury bill repurchase term is due.
`Maturity`	Treasury bill maturity date.

All arguments must be a scalar or some Treasury bills (NTBILLS) by 1 or a 1-by-NTBILLS vector.

All dates must be in serial date number format.

Description

TBEDiscount = tbillrepo(RepoRate, InitialDiscount, PurchaseDate, SaleDate, Maturity) computes the true break-even discount of a repurchase agreement. TBEDiscount can be a scalar or vector of size NTBills-by-1.

Examples

Compute the true break-even discount on a Treasury bill repurchase agreement.

RepoRate = [0.045; 0.0475];
InitialDiscount = 0.0475;
PurchaseDate = '3-Jan-2002';
SaleDate = '3-Feb-2002';
Maturity = '3-Apr-2002';

TBEDiscount = tbillrepo(RepoRate, InitialDiscount,... 
PurchaseDate, SaleDate, Maturity)

TBEdiscount =

    0.0491
    0.0478

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.

tbillprice

tbillval01