tbillprice

Price Treasury bill

Syntax

Price = tbillprice(Rate,Settle,Maturity)

Price = tbillprice(___,Type)

Description

Price = tbillprice(Rate,Settle,Maturity) computes the price of a Treasury bill given a yield or discount rate.

Price = tbillprice(___,Type) adds an optional argument for Type.

Examples

Compute the Price of a Treasury Bill Using the Bond-Equivalent Yield

Given a Treasury bill with the following characteristics, compute the price of the Treasury bill using the bond-equivalent yield (Type = 2) as input.

Rate = 0.045;
Settle = '01-Oct-02';
Maturity = '31-Mar-03';

Type = 2;

Price = tbillprice(Rate, Settle, Maturity, Type)

Price = 97.8172

Price a Portfolio of Treasury Bills

Use tbillprice to price a portfolio of Treasury bills.

Rate = [0.045; 0.046];
Settle = {'02-Jan-02'; '01-Mar-02'};
Maturity = {'30-June-02'; '30-June-02'};
Type = [2 3];

Price = tbillprice(Rate, Settle, Maturity, Type)

Price = 2×1

   97.8408
   98.4539

Price a Portfolio of Treasury Bills Using datetime Input

Use tbillprice to price a portfolio of Treasury bills using datetime input.

Rate = [0.045; 0.046];
Type = [2 3];

Settle = datetime({'2002-01-02';'2002-03-01'},'InputFormat','yyyy-MM-dd','Locale','en_US');
Maturity = datetime({'2002-06-30';'2002-06-30'},'InputFormat','yyyy-MM-dd','Locale','en_US');
Price = tbillprice(Rate, Settle, Maturity, Type)

Price = 2×1

   97.8408
   98.4539

Input Arguments

Rate — Bond-equivalent yield, money-market yield, or discount rate

decimal

Bond-equivalent yield, money-market yield, or discount rate (defined by the input Type), specified as a scalar of a NTBILLS-by-1 vector of decimal values.

Data Types: double

Settle — Settlement date of Treasury bill

serial date number | date character vector | datetime

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.

Data Types: double | char | datetime

Maturity — Maturity date of Treasury bill

serial date number | date character vector | 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

Type — (Optional) Rate type

2 (default) | numeric with values 1 = money market, 2 = bond-equivalent, 3 = discount rate

Rate type (determines how to interpret values entered in Rate), specified as a numeric value of 1,2, or 3 using a scalar or a NTBILLS-by-1 vector.

Note

The bond-equivalent yield basis is actual/365. The money-market yield basis is actual/360. The discount rate basis is actual/360.

Data Types: double

Output Arguments

Price — Treasury bill price for every $100 face

numeric

Treasury bill prices 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.