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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, specified as a serial date number, date character vector, or datetime array. Settle must be earlier than Maturity.

Maturity

Maturity date, specified as a serial date number, date character vector, or datetime array.

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

collapse all

This example shows how to convert the discount rate on Treasury bills into their respective money-market or bond-equivalent yields, given a Treasury bill with the following characteristics.

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

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

    0.0517


MMYield =

    0.0510

This example shows how to use datetime inputs to convert the discount rate on Treasury bills into their respective money-market or bond-equivalent yields, given a Treasury bill with the following characteristics.

Discount = 0.0497;
Settle = datetime('01-Oct-02','Locale','en_US');
Maturity = datetime('31-Mar-03','Locale','en_US');
[BEYield MMYield] = tbilldisc2yield(Discount, Settle, Maturity)
BEYield =

    0.0517


MMYield =

    0.0510

Related Examples

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.

Introduced before R2006a

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