Documentation

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, specified as a serial date number, date character vector, or datetime array.

SaleDate

Date the Treasury bill repurchase term is due, specified as a serial date number, date character vector, or datetime array.

Maturity

Treasury bill maturity date, specified as a serial date number, date character vector, or datetime array.

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

Compute the True Break-Even Discount Using datetime Inputs

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

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

    0.0491
    0.0478

Related Examples

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.

Introduced before R2006a

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