tbilldisc2yield

Convert Treasury bill discount to equivalent yield

Syntax

[BEYield,MMYield] = tbilldisc2yield(Discount,Settle,Maturity)

Description

example

[BEYield,MMYield] = tbilldisc2yield(Discount,Settle,Maturity) converts the discount rate on Treasury bills into their respective money-market or bond-equivalent yields.

Examples

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This example shows how to convert the discount rate on Treasury bills into their respective money-market or bond-equivalent yields, given a Treasury bill with the following characteristics.

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

[BEYield MMYield] = tbilldisc2yield(Discount, Settle, Maturity)
BEYield = 0.0517
MMYield = 0.0510

This example shows how to use datetime inputs to convert the discount rate on Treasury bills into their respective money-market or bond-equivalent yields, given a Treasury bill with the following characteristics.

Discount = 0.0497;
Settle = datetime('01-Oct-02','Locale','en_US');
Maturity = datetime('31-Mar-03','Locale','en_US');
[BEYield MMYield] = tbilldisc2yield(Discount, Settle, Maturity)
BEYield = 0.0517
MMYield = 0.0510

Input Arguments

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Discount rate of the Treasury bills, specified as a scalar of a NTBILLS-by-1 vector of decimal values. The discount rate basis is actual/360.

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. Settle must be earlier than Maturity.

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

Output Arguments

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Bond equivalent yields of the Treasury bills, returned as a NTBILLS-by-1 vector. The bond-equivalent yield basis is actual/365.

Money-market yields of the Treasury bills, returned as a NTBILLS-by-1 vector. The money-market yield basis is actual/360.

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