Yield on Treasury bill
[MMYield, BEYield, Discount] = tbillyield(Price, Settle, Maturity)
Price of Treasury bills for every $100 face value.
Settlement date. Settle must be earlier than Maturity.
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.
This example shows how to compute the yield of U.S. Treasury bills, given a Treasury bill with the following characteristics.
Price = 98.75; Settle = '01-Oct-02'; Maturity = '31-Mar-03'; [MMYield, BEYield, Discount] = tbillyield(Price, Settle,... Maturity)
MMYield = 0.0252 BEYield = 0.0255 Discount = 0.0249
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.