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tbillval01

Value of one basis point

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Syntax

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

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.

example

Examples

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Open Live Script

This example shows how to compute the value of one basis point, given a Treasury bill with the following settle and maturity dates.

Settle = '01-Mar-03';
Maturity = '30-June-03';
[Val01Disc, Val01MMY, Val01BEY] = tbillval01(Settle, Maturity)
Val01Disc = 
0.0034

Val01MMY = 
0.0034

Val01BEY = 
0.0033
Open Live Script

This example shows how to use datetime inputs to compute the value of one basis point, given a Treasury bill with the following settle and maturity dates. 

Settle = datetime(2003,3,1);
Maturity = datetime(2003,6,30);
[Val01Disc, Val01MMY, Val01BEY] = tbillval01(Settle, Maturity)
Val01Disc = 
0.0034

Val01MMY = 
0.0034

Val01BEY = 
0.0033

Input Arguments

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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, tbillval01 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, tbillval01 also accepts serial date numbers as inputs, but they are not recommended.

Data Types: char | string | datetime

Output Arguments

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Value of one basis point of discount rate for every $100 face, returned as a NTBILLS-by-1 vector.

Value of one basis point of money-market yield for every $100 face, returned as a NTBILLS-by-1 vector.

Value of one basis point of bond-equivalent yield for every $100 face, returned as a 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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See Also

| (Financial Instruments Toolbox) |

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