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(datetime(2000,2,11),datetime(2000,8,7), 0.0577)

Yield = 0.0602

Input Arguments

Settle — Settlement date of Treasury bill

datetime array | string array | date character vector

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

Data Types: char | string | datetime

Maturity — Maturity date of Treasury bill

datetime array | string array | date character vector

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

Data Types: char | string | 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.

Version History

Introduced before R2006a

R2022b: Serial date numbers not recommended

Although beytbill supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.