tbillval01

Value of one basis point

Syntax

[Val01Disc, Val01MMY, Val01BEY] = tbillval01(Settle, Maturity)

Arguments

Settle

Settlement date of Treasury bills. Settle must be earlier than Maturity.

Maturity

Maturity date of Treasury bills.

Description

[Val01Disc, Val01MMY, Val01BEY] = tbillval01(Settle, Maturity) calculates the value of one basis point of $100 Treasury bill face value on the discount rate, money-market yield, or bond-equivalent yield.

Val01Disc is the value of one basis point of discount rate.

Val01MMY is the value of one basis point of money-market yield.

Val01BEY is the value of one basis point of bond-equivalent yield.

All outputs are of size equal to the number of Treasury bills (NTBILLS) by 1.

Examples

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Compute the Value of One Basis Point

This example shows how to compute the value of one basis point, given a Treasury bill with the following settle and maturity dates.

Settle = '01-Mar-03';
Maturity = '30-June-03';
[Val01Disc, Val01MMY, Val01BEY] = tbillval01(Settle, Maturity)
Val01Disc =

    0.0034


Val01MMY =

    0.0034


Val01BEY =

    0.0033

References

This function adheres to SIA Fixed Income Securities Formulas for Price, Yield, and Accrued Interest, Volume 1, 3rd edition, pp 108 - 115, on zero coupon instrument pricing.

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