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tbillyield

Yield on Treasury bill

Syntax

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

Arguments

Price

Price of Treasury bills for every $100 face value.

Settle

Settlement date, specified as a serial date number, date character vector, or datetime array. Settle must be earlier than Maturity.

Maturity

Maturity date, specified as a serial date number, date character vector, or datetime array.

All arguments must be a scalar or some Treasury bills (NTBILLS-by-1) or (1-by-NTBILLS) vector.

Description

[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.

Examples

collapse all

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

Related Examples

References

This function adheres to SIA Fixed Income Securities Formulas for Price, Yield, and Accrued Interest. Vol. 1, 3rd edition, pp. 44–45 (on Treasury bills), and Money Market and Bond Calculation by Stigum and Robinson.

Introduced before R2006a

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