tbl2bond

Treasury bond parameters given Treasury bill parameters

Syntax

[TBondMatrix, Settle] = tbl2bond(TBillMatrix)

Arguments

TBillMatrix

Treasury bill parameters. An n-by-5 matrix where each row describes a Treasury bill. n is the number of Treasury bills. Columns are [Maturity DaysMaturity Bid Asked AskYield] where:

Maturity

Maturity date, as a serial date number. Use datenum to convert date strings to serial date numbers.

DaysMaturity

Days to maturity, as an integer. Days to maturity is quoted on a skip-day basis; the actual number of days from settlement to maturity is DaysMaturity + 1.

Bid

Bid bank-discount rate: the percentage discount from face value at which the bill could be bought, annualized on a simple-interest basis. A decimal fraction.

Asked

Asked bank-discount rate, as a decimal fraction.

AskYield

Asked yield: the bond-equivalent yield from holding the bill to maturity, annualized on a simple-interest basis and assuming a 365-day year. A decimal fraction.

Description

[TBondMatrix, Settle] = tbl2bond(TBillMatrix) restates U.S. Treasury bill market parameters in U.S. Treasury bond form as zero-coupon bonds. This function makes Treasury bills directly comparable to Treasury bonds and notes.

TBondMatrix

Treasury bond parameters. An N-by-5 matrix where each row describes an equivalent Treasury (zero-coupon) bond. Columns are [CouponRate Maturity Bid Asked AskYield] where

CouponRate

Coupon rate, which is always 0.

Maturity

Maturity date, as a serial date number. This date is the same as the Treasury bill Maturity date.

Bid

Bid price based on $100 face value.

Asked

Asked price based on $100 face value.

AskYield

Asked yield to maturity: the effective return from holding the bond to maturity, annualized on a compound-interest basis.

Examples

expand all

Restate U.S. Treasury Bill in U.S. Treasury Bond Form

This example shows how to restate U.S. Treasury bill market parameters in U.S. Treasury bond form, given published Treasury bill market parameters for December 22, 1997.

TBill = [datenum('jan 02 1998')  10  0.0526  0.0522  0.0530
         datenum('feb 05 1998')  44  0.0537  0.0533  0.0544
         datenum('mar 05 1998')  72  0.0529  0.0527  0.0540];

TBond = tbl2bond(TBill)
TBond =

   1.0e+05 *

         0    7.2976    0.0010    0.0010    0.0000
         0    7.2979    0.0010    0.0010    0.0000
         0    7.2982    0.0010    0.0010    0.0000

See Also

Was this topic helpful?