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tbillyield

Yield on Treasury bill

Syntax

[MMYield,BEYield,Discount] = tbillyield(Price,Settle,Maturity)

Description

example

[MMYield,BEYield,Discount] = tbillyield(Price,Settle,Maturity) computes the yield of US Treasury bills given Price, Settle, and Maturity.

Examples

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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 example shows how to use datetime inputs to compute the yield of U.S. Treasury bills, given a Treasury bill with the following characteristics.

Price = 98.75;
Settle = datetime('01-Oct-2002','Locale','en_US');
Maturity = datetime('31-Mar-2003','Locale','en_US');
[MMYield, BEYield, Discount] = tbillyield(Price, Settle,Maturity)
MMYield = 0.0252
BEYield = 0.0255
Discount = 0.0249

Input Arguments

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Price of Treasury bills for every $100 face value, specified as a scalar of a NTBILLS-by-1 vector of decimal values.

Data Types: double

Settlement date of the Treasury bill, specified as a scalar or a NTBILLS-by-1 vector of serial date numbers, date character vectors, or datetime arrays. Settle must be earlier than Maturity.

Data Types: double | char | datetime

Maturity date of the Treasury bill, specified as a scalar or a NTBILLS-by-1 vector of serial date numbers, date character vectors, or datetime arrays.

Data Types: double | char | datetime

Output Arguments

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Money-market yields of the Treasury bills, returned as a NTBILLS-by-1 vector.

Bond equivalent yields of the Treasury bills, returned as a NTBILLS-by-1 vector.

Discount rates of the Treasury bills, returned as a NTBILLS-by-1 vector.

References

[1] SIA Fixed Income Securities Formulas for Price, Yield, and Accrued Interest. Volume 1, 3rd edition, pp. 44–45.

[2] Krgin, D. Handbook of Global Fixed Income Calculations. Wiley, 2002.

[3] Stigum, M., Robinson, F. Money Market and Bond Calculation. McGraw-Hill, 1996.

Introduced before R2006a

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