Treasury bond parameters given Treasury bill parameters
[TBondMatrix, Settle] = tbl2bond(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 date, as a serial date number. Use datenum to convert date strings to serial date numbers.
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 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 bank-discount rate, as a decimal fraction.
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.
[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.
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
Coupon rate, which is always 0.
Maturity date, as a serial date number. This date is the same as the Treasury bill Maturity date.
Bid price based on $100 face value.
Asked price based on $100 face value.
Asked yield to maturity: the effective return from holding the bond to maturity, annualized on a compound-interest basis.
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