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tbilldisc2yield

Convert Treasury bill discount to equivalent yield

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Syntax

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

Description

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

example

Examples

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Open Live Script

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
Open Live Script

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(2002,10,1);
Maturity = datetime(2003,3,31);
[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 using a datetime array, string array, or date character vectors. Settle must be earlier than Maturity.

To support existing code, tbilldisc2yield 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, tbilldisc2yield also accepts serial date numbers as inputs, but they are not recommended.

Data Types: char | string | 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.

Version History

Introduced before R2006a

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See Also

| (Financial Instruments Toolbox) |

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