Fixed-Income Toolbox™

tbillyield2disc - Convert Treasury bill yield to equivalent discount

Syntax

Discount = tbillyield2disc(Yield, Settle, Maturity, Type)

Arguments

`Yield`	Yield of Treasury bills in decimal.
`Settle`	Settlement date. `Settle` must be earlier than or equal to `Maturity`.
`Maturity`	Maturity date.
`Type`	(Optional) Yield type. Determines how to interpret values entered in `Yield`. 1 = money market (default). 2 = bond-equivalent.

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.

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

Description

Discount = tbillyield2disc(Yield, Settle, Maturity, Type) converts the yield on some Treasury bills into their respective discount rates.

Discount is a NTBILLS-by-1 vector of T-bill discount rates.

Examples

Given a Treasury bill with these characteristics, compute the discount rate on a money-market basis.

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

Discount = tbillyield2disc(Yield, Settle, Maturity)

Discount =

    0.0485

Now recompute the discount on a bond-equivalent basis.

Discount = tbillyield2disc(Yield, Settle, Maturity, 2)

Discount =

    0.0478

References