tbillprice

Price Treasury bill

Syntax

Price = tbillprice(Rate, Settle, Maturity, Type)

Arguments

Rate

Bond-equivalent yield, money-market yield, or discount rate in decimal.

Settle

Settlement date. Settle must be earlier than Maturity.

Maturity

Maturity date.

Type

(Optional) Rate type. Determines how to interpret values entered in Rate. 1 = money market (default). 2 = bond-equivalent. 3 = discount rate.

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

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

Description

Price = tbillprice(Rate, Settle, Maturity, Type) computes the price of a Treasury bill given a yield or discount rate.

Price is an NTBILLS-by-1 vector of T-bill prices for every $100 face.

Examples

Example 1. Given a Treasury bill with these characteristics, compute the price of the Treasury bill using the bond-equivalent yield as input.

Rate = 0.045;
Settle = '01-Oct-02';
Maturity = '31-Mar-03';

Type = 2;

Price = tbillprice(Rate, Settle, Maturity, Type)
Price =

   97.8172

Example 2. Use tbillprice to price a portfolio of Treasury bills.

Rate = [0.045; 0.046];
Settle = {'02-Jan-02'; '01-Mar-02'};
Maturity = {'30-June-02'; '30-June-02'};
Type = [2 3];

Price = tbillprice(Rate, Settle, Maturity, Type)
Price =

   97.8408
   98.4539

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.

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