Function TreasuryBillBondEquivalent(SettlementDate, MaturityDate, DiscountRate)

TreasuryBillBondEquivalent

The function TreasuryBillBondEquivalent returns the bond equivalent yield of a treasury bill. A Treasury bill is a discounted security with less than one year from settlement until maturity, the number of days in one year is fixed at 360 and redemption is fixed at 100.

TreasuryBillBondEquivalent(
    SettlementDate,           ! (input) scalar string expression
    MaturityDate,             ! (input) scalar string expression
    DiscountRate              ! (input) numerical expression
    )

Arguments

SettlementDate

The date of settlement of the security. SettlementDate must be given in a date format.

MaturityDate

The date of maturity of the security. MaturityDate must also be in date format and must be a date after SettlementDate.

DiscountRate

The discount rate of the security as a percentage of the redemption. DiscountRate must be a positive real number.

Return Value

The function TreasuryBillBondEquivalent returns the bond equivalent yield of a Treasury bill.

Note

  • This function can be used in an objective function or constraint and the input parameter DiscountRate can be used as a variable.

  • The function TreasuryBillBondEquivalent is similar to the Excel function TBILLEQ <https://support.microsoft.com/en-us/office/tbilleq-function-2ab72d90-9b4d-4efe-9fc2-0f81f2c19c8c>.

Example

Bond equivalent yield for a treasury bill, half a year out, 10%:

_p_tbbe := TreasuryBillBondEquivalent(
        SettlementDate :  "2024-07-01",
        MaturityDate   :  "2025-01-01",
        DiscountRate   :  0.1);
block where single_column_display := 1, listing_number_precision := 6 ;
        display _p_tbbe ;
endblock ;

Well:

_p_tbbe := 0.106850 ;

References

  • General equations for discounted securities.