tbillyield2disc - Convert Treasury bill yield to equivalent discount

Syntax

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

Arguments

Yield	Yield of Treasury bills in decimal.
Settle	Settlement date. Settle must be earlier than Maturity.
Maturity	Maturity date.
Type	(Optional) Yield type. Determines how to interpret values entered in Yield. 1 = money market (default). 2 = bond-equivalent.

Inputs must either be a scalar or a vector of size equal to the number of Treasury bills (NTBILLS) by 1 or 1-by-NTBILLS.

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

Description

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

Discount is a NTBILLS-by-1 vector of T-bill discount rates.

Examples

Given a Treasury bill with these characteristics, compute the discount rate on a money-market basis.

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

Discount = tbillyield2disc(Yield, Settle, Maturity)

Discount =

    0.0485

Now recompute the discount on a bond-equivalent basis.

Discount = tbillyield2disc(Yield, Settle, Maturity, 2)

Discount =

    0.0478

References

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

See Also

tbilldisc2yield

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