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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

expand 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.

See Also

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