Yield on Treasury bill
[MMYield, BEYield, Discount] = tbillyield(Price, Settle, Maturity)
Price of Treasury bills for every $100 face value.
All arguments must be a scalar or some Treasury bills (
[MMYield, BEYield, Discount] = tbillyield(Price, Settle,
Maturity) computes the yield of U.S. Treasury bills given
MMYield is the
money-market yields of the Treasury bills.
the bond equivalent yields of the Treasury bills.
the discount rates of the Treasury bills.
All outputs are
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 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.