tbillval01 - Value of one basis point

Syntax

[Val01Disc, Val01MMY, Val01BEY] = tbillval01(Settle, Maturity)

Arguments

Settle	Settlement date of Treasury bills. Settle must be earlier than Maturity.
Maturity	Maturity date of Treasury bills.

Description

[Val01Disc, Val01MMY, Val01BEY] = tbillval01(Settle, Maturity) calculates the value of one basis point of $100 Treasury bill face value on the discount rate, money-market yield, or bond-equivalent yield.

Val01Disc is the value of one basis point of discount rate.

Val01MMY is the value of one basis point of money-market yield.

Val01BEY is the value of one basis point of bond-equivalent yield.

All outputs are of size equal to the number of Treasury bills (NTBILLS) by 1.

Examples

Given a Treasury bill with these settle and maturity dates, compute the value of one basis point.

Settle = '01-Mar-03';
Maturity = '30-June-03';
[Val01Disc, Val01MMY, Val01BEY] = tbillval01(Settle, Maturity)

Val01Disc =

    0.0034

Val01MMY =

    0.0034

Val01BEY =

    0.0033

References

This function adheres to SIA Fixed Income Securities Formulas for Price, Yield, and Accrued Interest, Volume 1, 3rd edition, pp 108 - 115, on zero coupon instrument pricing.

See Also

tbilldisc2yield | tbillprice | tbillyield | tbillyield2disc

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