Yield on Treasury bill
[MMYield, BEYield, Discount] = tbillyield(Price, Settle, Maturity)
Price | Price of Treasury bills for every $100 face value. |
Settle | Settlement date. |
Maturity | Maturity date. |
All arguments must be a scalar or some Treasury bills (NTBILLS
-by-1
)
or (1
-by-NTBILLS
) vector.
[MMYield, BEYield, Discount] = tbillyield(Price, Settle,
Maturity)
computes the yield of U.S. Treasury bills given Price
, Settle
,
and Maturity
. MMYield
is the
money-market yields of the Treasury bills. BEYield
is
the bond equivalent yields of the Treasury bills. Discount
is
the discount rates of the Treasury bills.
All outputs are NTBILLS
-by-1
vectors.
Note The money-market yield basis is actual/360. The bond-equivalent yield basis is actual/365. The discount rate basis is actual/360. |
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.