tbl2bond

Treasury bond parameters given Treasury bill parameters

Syntax

[TBondMatrix,Settle] = tbl2bond(TBillMatrix)

Description

[TBondMatrix,Settle] = tbl2bond(TBillMatrix) restates US Treasury bill market parameters in US Treasury bond form as zero-coupon bonds. This function makes Treasury bills directly comparable to Treasury bonds and notes.

Examples

Restate U.S. Treasury Bill in U.S. Treasury Bond Form

This example shows how to restate U.S. Treasury bill market parameters in U.S. Treasury bond form, given published Treasury bill market parameters for December 22, 1997.

TBill = [datenum('jan 02 1998')  10  0.0526  0.0522  0.0530
         datenum('feb 05 1998')  44  0.0537  0.0533  0.0544
         datenum('mar 05 1998')  72  0.0529  0.0527  0.0540];

TBond = tbl2bond(TBill)

TBond = 3×5
105 ×

         0    7.2976    0.0010    0.0010    0.0000
         0    7.2979    0.0010    0.0010    0.0000
         0    7.2982    0.0010    0.0010    0.0000

Restate U.S. Treasury Bill in U.S. Treasury Bond Form Using datetime Input

This example shows how to use datetime input to restate U.S. Treasury bill market parameters in U.S. Treasury bond form, given published Treasury bill market parameters for December 22, 1997.

TBill = [datenum('jan 02 1998')  10  0.0526  0.0522  0.0530
         datenum('feb 05 1998')  44  0.0537  0.0533  0.0544
         datenum('mar 05 1998')  72  0.0529  0.0527  0.0540];

dates = datetime(TBill(:,1), 'ConvertFrom', 'datenum','Locale','en_US');
data = TBill(:,2:end);
t=[table(dates) array2table(data)];
[TBond, Settle] = tbl2bond(t)

TBond=3×5 table
    CouponRate     Maturity       Bid      Asked     AskYield
    __________    ___________    ______    ______    ________

        0         02-Jan-1998    99.854    99.855      0.053 
        0         05-Feb-1998    99.344    99.349     0.0544 
        0         05-Mar-1998    98.942    98.946      0.054 

Settle = 3x1 datetime
   22-Dec-1997
   22-Dec-1997
   22-Dec-1997

Input Arguments

TBillMatrix — Treasury bill parameters

table | matrix

Treasury bill parameters, specified as a 5-column table or a N-by-5 matrix of bond information where the table columns or matrix columns contains:

• Maturity (Required) Maturity date of Treasury bills, specified as a serial date number when using a matrix. Use datenum to convert date character vectors to serial date numbers. If the input TBillMatrix is a table, the Maturity dates can be serial date numbers, date character vectors, or datetime arrays.

• DaysMaturity (Required) Days to maturity, specified as an integer. Days to maturity are quoted on a skip-day basis; the actual number of days from settlement to maturity is DaysMaturity + 1.

• Bid (Required) Bid bank-discount rate (the percentage discount from face value at which the bill could be bought, annualized on a simple-interest basis), specified as a decimal fraction.

• Asked (Required) Asked bank-discount rate, specified as a decimal fraction.

• AskYield (Required) Asked yield (the bond-equivalent yield from holding the bill to maturity, annualized on a simple-interest basis and assuming a 365-day year), specified as a decimal fraction.

Data Types: double | table

Output Arguments

TBondMatrix — Treasury bond parameters

table | matrix

Treasury bond parameters, returned as a table or matrix depending on the TBillMatrix input.

When TBillMatrix is a table, TBondMatrix is also a table, and the variable type for the Maturity dates in TBondMatrix (column 1) matches the variable type for Maturity in TBillMatrix. For example, if Maturity dates are datetime arrays in TBillMatrix, they will also be datetime arrays in TBondMatrix.

When TBillMatrix input is a N-by-5 matrix, then each row describes a Treasury bond.

The parameters or columns returned for TBondMatrix are:

• CouponRate (Column 1) Coupon rate, which is always 0 since the Treasury bills are, by definition, a zero coupon instrument.

  .

• Maturity (Column 2) Maturity date for each bond in the portfolio as a serial date number. The format of the dates matches the format used for Maturity in TBillMatrix (serial date number, date character vector, or datetime array).

• Bid (Column 3) Bid price based on $100 face value.

• Asked (Column 4) Asked price based on $100 face value.

• AskYield (Column 5) Asked yield to maturity: the effective return from holding the bond to maturity, annualized on a compound-interest basis.

Settle — Settlement dates implied by maturity dates and number of days to maturity quote

serial date number | datetime

Settlement dates implied by the maturity dates and the number of days to maturity quote, returned as a N-by-5 vector containing serial date numbers, by default. Settle is returned as a datetime array only if the input TBillMatrix is a table containing datetime arrays for Maturity in the first column.