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tbillyield2disc

Convert Treasury bill yield to equivalent discount

Syntax

Discount = tbillyield2disc(Yield,Settle,Maturity)
Discount = tbillyield2disc(___,Type)

Description

example

Discount = tbillyield2disc(Yield,Settle,Maturity) converts the yield on some Treasury bills into their respective discount rates.

example

Discount = tbillyield2disc(___,Type) adds an optional argument for Type.

Examples

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Given a Treasury bill with these characteristics, compute the discount rate.

Yield = 0.0497;
Settle = '01-Oct-02';
Maturity = '31-Mar-03';

Discount = tbillyield2disc(Yield,Settle,Maturity)
Discount = 0.0485

Given a Treasury bill with these characteristics, compute the discount rate using datetime inputs.

Yield = 0.0497;
Settle = datetime('01-Oct-2002','Locale','en_US');
Maturity = datetime('31-Mar-2003','Locale','en_US');

Discount = tbillyield2disc(Yield,Settle,Maturity)
Discount = 0.0485

Input Arguments

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Yield of Treasury bills, 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.

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

(Optional) Yield type (determines how to interpret values entered in Yield), specified as a numeric value of 1 or 2 using a scalar or a NTBILLS-by-1 vector.

Note

The bond-equivalent yield basis is actual/365. The money-market yield basis is actual/360.

Data Types: double

Output Arguments

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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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