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tbillyield

Yield on Treasury bill

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Syntax

[MMYield,BEYield,Discount] = tbillyield(Price,Settle,Maturity)

Description

[MMYield,BEYield,Discount] = tbillyield(Price,Settle,Maturity) computes the yield of US Treasury bills given Price, Settle, and Maturity.

example

Examples

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Open Live Script

This example shows how to compute the yield of U.S. Treasury bills, given a Treasury bill with the following characteristics.

Price = 98.75;
Settle = '01-Oct-02';
Maturity = '31-Mar-03';

[MMYield, BEYield, Discount] = tbillyield(Price, Settle,... 
Maturity)
MMYield = 
0.0252

BEYield = 
0.0255

Discount = 
0.0249
Open Live Script

This example shows how to use datetime inputs to compute the yield of U.S. Treasury bills, given a Treasury bill with the following characteristics. 

Price = 98.75;
Settle = datetime('01-Oct-2002','Locale','en_US');
Maturity = datetime('31-Mar-2003','Locale','en_US');
[MMYield, BEYield, Discount] = tbillyield(Price, Settle,Maturity)
MMYield = 
0.0252

BEYield = 
0.0255

Discount = 
0.0249

Input Arguments

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Price of Treasury bills for every $100 face value, specified as a scalar of a NTBILLS-by-1 vector of decimal values.

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

Data Types: char | string | datetime

Output Arguments

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Money-market yields of the Treasury bills, returned as a NTBILLS-by-1 vector.

Bond equivalent yields of the Treasury bills, returned as a NTBILLS-by-1 vector.

Discount rates of the Treasury bills, returned as a NTBILLS-by-1 vector.

References

[1] Krgin, D. Handbook of Global Fixed Income Calculations. Wiley, 2002.

[2] Mayle, J. "Standard Securities Calculations Methods: Fixed Income Securities Formulas for Price, Yield, and Accrued Interest." SIA, Vol 1, 3rd edition, Jan 1993, pp. 44–45.

[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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