tbillyield - Yield on Treasury bill

Syntax

[MMYield, BEYield, Discount] = tbillyield(Price, Settle, Maturity)

Arguments

`Price`	Price of Treasury bills for every $100 face value.
`Settle`	Settlement date. `Settle` must be earlier than or equal to `Maturity`.
`Maturity`	Maturity date.

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

Description

[MMYield, BEYield, Discount] = tbillyield(Price, Settle, Maturity) computes the yield of U.S. Treasury bills given Price, Settle, and Maturity. MMYield is the money-market yields of the Treasury bills. BEYield is the bond equivalent yields of the Treasury bills. Discount is the discount rates of the Treasury bills.

All outputs are NTBILLS-by-1 vectors.

Note The money-market yield basis is actual/360. The bond-equivalent yield basis is actual/365. The discount rate basis is actual/360.

Examples

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

Price = 98.75;
Settle = '01-Oct-02';
Maturity = '31-Mar-03';

[MMYield, BEYield, Discount] = tbillyield(Price, Settle,... 
Maturity)

MMYield =

    0.0252

BEYield =

    0.0255

Discount =

    0.0249

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.