Break-even discount of repurchase agreement
TBEDiscount = tbillrepo(RepoRate, InitialDiscount, PurchaseDate,
The annualized, 360-day based repurchase rate, in decimal.
Discount on the Treasury bill on the day of purchase, in decimal.
Date the Treasury bill is purchased.
Date the Treasury bill repurchase term is due.
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.
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.
Compute the true break-even discount on 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
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.