# tbillrepo

Break-even discount of repurchase agreement

## Syntax

```TBEDiscount = tbillrepo(RepoRate, InitialDiscount, PurchaseDate,SaleDate, Maturity)
```

## Arguments

 `RepoRate` The annualized, 360-day based repurchase rate, in decimal. `InitialDiscount` Discount on the Treasury bill on the day of purchase, in decimal. `PurchaseDate` Date the Treasury bill is purchased. `SaleDate` Date the Treasury bill repurchase term is due. `Maturity` Treasury bill maturity date.

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

All dates must be in serial date number format.

## Description

```TBEDiscount = tbillrepo(RepoRate, InitialDiscount, PurchaseDate, SaleDate, Maturity)``` computes the true break-even discount of a repurchase agreement. `TBEDiscount` can be a scalar or vector of size `NTBills`-by-`1`.

## Examples

collapse all

### Compute the True Break-Even Discount

This example shows how to compute the true break-even discount of a Treasury bill repurchase agreement.

```RepoRate = [0.045; 0.0475]; InitialDiscount = 0.0475; PurchaseDate = '3-Jan-2002'; SaleDate = '3-Feb-2002'; Maturity = '3-Apr-2002'; TBEDiscount = tbillrepo(RepoRate, InitialDiscount,... PurchaseDate, SaleDate, Maturity) ```
```TBEDiscount = 0.0491 0.0478 ```

## 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.