beytbill

Bond equivalent yield for Treasury bill

Syntax

Yield = beytbill(Settle,Maturity,Discount)

Description

Yield = beytbill(Settle,Maturity,Discount) returns the bond equivalent yield for a Treasury bill.

Examples

Find the Bond Equivalent Yield for a Treasury Bill

This example shows how to find the bond equivalent yield for a Treasury bill that has a settlement date of February 11, 2000, a maturity date of August 7, 2000, and a discount rate is 5.77.

Yield = beytbill('2/11/2000', '8/7/2000', 0.0577)

Yield = 0.0602

Find the Bond Equivalent Yield for a Treasury Bill Using datetime Inputs

This example shows how to use datetime inputs to find the bond equivalent yield for a Treasury bill that has a settlement date of February 11, 2000, a maturity date of August 7, 2000, and the discount rate is 5.77.

Yield = beytbill(datetime('11-Feb-2000','Locale','en_US'), datetime('7-Aug-2000','Locale','en_US'),...
0.0577)

Yield = 0.0602

Input Arguments

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. Settle must be earlier than Maturity.

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

Discount — Discount rate of Treasury bill

decimal

Discount rate of the Treasury bill, specified as a scalar of a NTBILLS-by-1 vector of decimal fraction values.

Data Types: double

Output Arguments

Yield — Treasury bill yield

decimal

Treasury bill yield, returned as a scalar or NTBILLS-by-1 vector.

Note

The number of days to maturity is typically quoted as: md - sd - 1. A NaN is returned for all cases in which negative prices are implied by the discount rate, Discount, and the number of days between Settle and Maturity.