Documentation

This is machine translation

Translated by Microsoft
Mouseover text to see original. Click the button below to return to the English verison of the page.

Note: This page has been translated by MathWorks. Please click here
To view all translated materals including this page, select Japan from the country navigator on the bottom of this page.

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

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

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

Was this topic helpful?