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tbillprice

Price Treasury bill

Syntax

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

Description

example

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

example

Price = tbillprice(___,Type) adds an optional argument for Type.

Examples

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Given a Treasury bill with the following characteristics, compute the price of the Treasury bill using the bond-equivalent yield (Type = 2) as input.

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

Type = 2;

Price = tbillprice(Rate, Settle, Maturity, Type)
Price = 97.8172

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

Use tbillprice to price a portfolio of Treasury bills using datetime input.

Rate = [0.045; 0.046];
Type = [2 3];

Settle = datetime({'02-Jan-2002'; '01-Mar-2002'},'Locale','en_US');
Maturity = datetime({'30-June-2002'; '30-June-2002'},'Locale','en_US');
Price = tbillprice(Rate, Settle, Maturity, Type)
Price = 

   97.8408
   98.4539

Input Arguments

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Bond-equivalent yield, money-market yield, or discount rate (defined by the input Type), specified as a scalar of a NTBILLS-by-1 vector of decimal values.

Data Types: double

Settlement date of the Treasury bill, specified as a scalar or a NTBILLS-by-1 vector of serial date numbers, date character vectors, or datetime arrays.

Data Types: double | char | datetime

Maturity date of the Treasury bill, specified as a scalar or a NTBILLS-by-1 vector of serial date numbers, date character vectors, or datetime arrays.

Data Types: double | char | datetime

Rate type (determines how to interpret values entered in Rate), specified as a numeric value of 1,2, or 3 using a scalar or a NTBILLS-by-1 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.

Data Types: double

Output Arguments

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Treasury bill prices for every $100 face, returned as a NTBILLS-by-1 vector.

References

[1] SIA Fixed Income Securities Formulas for Price, Yield, and Accrued Interest. Volume 1, 3rd edition, pp. 44–45.

[2] Krgin, D. Handbook of Global Fixed Income Calculations. Wiley, 2002.

[3] Stigum, M., Robinson, F. Money Market and Bond Calculation. McGraw-Hill, 1996.

Introduced before R2006a

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