tbillval01

Value of one basis point

Syntax

[Val01Disc,Val01MMY,Val01BEY] = tbillval01(Settle,Maturity)

Description

example

[Val01Disc,Val01MMY,Val01BEY] = tbillval01(Settle,Maturity) calculates the value of one basis point of $100 Treasury bill face value on the discount rate, money-market yield, or bond-equivalent yield.

Examples

collapse all

This example shows how to compute the value of one basis point, given a Treasury bill with the following settle and maturity dates.

Settle = '01-Mar-03';
Maturity = '30-June-03';
[Val01Disc, Val01MMY, Val01BEY] = tbillval01(Settle, Maturity)
Val01Disc = 0.0034
Val01MMY = 0.0034
Val01BEY = 0.0033

This example shows how to use datetime inputs to compute the value of one basis point, given a Treasury bill with the following settle and maturity dates.

Settle = datetime('01-Mar-03','Locale','en_US');
Maturity = datetime('30-June-03','Locale','en_US');
[Val01Disc, Val01MMY, Val01BEY] = tbillval01(Settle, Maturity)
Val01Disc = 0.0034
Val01MMY = 0.0034
Val01BEY = 0.0033

Input Arguments

collapse all

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 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

Output Arguments

collapse all

Value of one basis point of discount rate for every $100 face, returned as a NTBILLS-by-1 vector.

Value of one basis point of money-market yield for every $100 face, returned as a NTBILLS-by-1 vector.

Value of one basis point of bond-equivalent yield 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.

Introduced before R2006a