tbillyield

Yield on Treasury bill

Description

example

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

Examples

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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

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 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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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.

 SIA Fixed Income Securities Formulas for Price, Yield, and Accrued Interest. Volume 1, 3rd edition, pp. 44–45.

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

 Stigum, M., Robinson, F. Money Market and Bond Calculation. McGraw-Hill, 1996.