# tbillrepo

Break-even discount of repurchase agreement

## Syntax

``TBEDiscount = tbillrepo(RepoRate,InitialDiscount,PurchaseDate,SaleDate,Maturity)``

## Description

````TBEDiscount = tbillrepo(RepoRate,InitialDiscount,PurchaseDate,SaleDate,Maturity)` computes the true break-even discount of a repurchase agreement.```

example

## Examples

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This example shows how to compute the true break-even discount of a Treasury bill repurchase agreement.

```RepoRate = [0.045; 0.0475]; InitialDiscount = 0.0475; PurchaseDate = '3-Jan-2002'; SaleDate = '3-Feb-2002'; Maturity = '3-Apr-2002'; TBEDiscount = tbillrepo(RepoRate, InitialDiscount,... PurchaseDate, SaleDate, Maturity)```
```TBEDiscount = 2×1 0.0491 0.0478 ```

This example shows how to use `datetime` inputs to compute the true break-even discount of a Treasury bill repurchase agreement.

```RepoRate = [0.045; 0.0475]; InitialDiscount = 0.0475; PurchaseDate = datetime(2002,1,3); SaleDate = datetime(2002,2,3); Maturity = datetime(2002,4,3); TBEDiscount = tbillrepo(RepoRate, InitialDiscount,... PurchaseDate, SaleDate, Maturity)```
```TBEDiscount = 2×1 0.0491 0.0478 ```

## Input Arguments

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Annualized, 360-day based repurchase rate, specified as a scalar of a `NTBILLS`-by-`1` vector of decimal values.

Data Types: `double`

Discount on the Treasury bill on the day of purchase, specified as a scalar of a `NTBILLS`-by-`1` vector of decimal values.

Data Types: `double`

Date the Treasury bill is purchased, specified as a scalar or a `NTBILLS`-by-`1` vector using a datetime array, string array, or date character vectors.

To support existing code, `tbillrepo` also accepts serial date numbers as inputs, but they are not recommended.

Data Types: `char` | `string` | `datetime`

Date the Treasury bill repurchase term is due, specified as a scalar or a `NTBILLS`-by-`1` vector using a datetime array, string array, or date character vectors.

To support existing code, `tbillrepo` also accepts serial date numbers as inputs, but they are not recommended.

Data Types: `char` | `string` | `datetime`

Maturity date of the Treasury bill, specified as a scalar or a `NTBILLS`-by-`1` vector using a datetime array, string array, or date character vectors.

To support existing code, `tbillrepo` also accepts serial date numbers as inputs, but they are not recommended.

Data Types: `char` | `string` | `datetime`

## Output Arguments

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True break-even discount of a repurchase agreement, returned as a scalar or `NTBILLS`-by-`1` vector.

## 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.

## Version History

Introduced before R2006a

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