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(2002,1,2);datetime(2002,3,1)];
Maturity = [datetime(2002,6,30);datetime(2002,6,30)];
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

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.

To support existing code, tbillprice 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, tbillprice also accepts serial date numbers as inputs, but they are not recommended.

Data Types: char | string | 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.

Version History

Introduced before R2006a

R2022b: Serial date numbers not recommended

Although tbillprice 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.